Computing currency invariant indices with an application to minimum variance currency baskets

DOI10.1016/S0165-1889(02)00087-8MaRDI QIDQ953658zbMATH OpenOpenAlexWikidataFDO

Authors Nikolai V. Hovanov, James W. Kolari, Mikhail V. Sokolov

Publication date 6 November 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1889(02)00087-8

zbMATH Keywords

minimal varianceinternational financecurrency basketcurrency indexnumeraireworld money

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Actuarial science and mathematical finance (91G99)

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Cited in

(5)

• Comment on Hovanov, Kolari and Sokolov: a stable currency numeraire?
• Asian currency baskets: An answer in search of a question?
• Which Are the World's Wobblier Currencies? Reference Exchange Rates and Their Variation
• A stable aggregate currency revisited: highlighting some fundamental issues
• Deriving weights from general pairwise comparison matrices

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