Currency attribution for bilateral exchange rates: A decomposition of the moments
A bilateral exchange rate is the price of a base currency in terms of a quote currency. In this situation, how do international investors decide the contributions of both the base currency and the quote currency to the mean, variance, skewness, and kurtosis of the movements in each bilateral exchang...
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| Format: | Article |
| Language: | English |
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Elsevier
2023-01-01
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| Series: | Social Sciences and Humanities Open |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S2590291123003091 |