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Operational research. Game theory --- Derivative securities --- Hedging (Finance) --- Derivative financial instruments --- Derivative financial products --- Derivative instruments --- Derivatives (Finance) --- Financial derivatives --- Securities --- Structured notes (Securities) --- Options (Finance) --- Speculation --- Financial futures --- Mathematical models --- E-books

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Financial futures --- Risk management --- Bank capital --- Derivative securities --- Capital market --- -AA / International- internationaal --- 333.605 --- 305.91 --- 339.42 --- 332.645 --- Capital markets --- Market, Capital --- Finance --- Financial institutions --- Loans --- Money market --- Securities --- Crowding out (Economics) --- Efficient market theory --- Derivative financial instruments --- Derivative financial products --- Derivative instruments --- Derivatives (Finance) --- Financial derivatives --- Structured notes (Securities) --- Capital --- Insurance --- Management --- Futures, Financial --- Futures --- Hedging (Finance) --- Nieuwe financiële instrumenten. --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Financiële analyse. --- Nieuwe financiële instrumenten --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Financiële analyse --- Capital market - Developing countries --- -Financial futures

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When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the conditional variance of expected profits from the interest rate arbitrage portfolio—appropriately measured when the basket weights are time-varying? Answers to these questions are provided within a time-varying parameter modeling framework estimated through the Kalman filter. An empirical application is devoted to the experience of the Thai baht currency basket (January 1992–February 1997).

Banks and Banking --- Foreign Exchange --- Money and Monetary Policy --- Public Finance --- Forecasting and Other Model Applications --- International Finance Forecasting and Simulation --- Monetary Systems --- Standards --- Regimes --- Government and the Monetary System --- Payment Systems --- Financing Policy --- Financial Risk and Risk Management --- Capital and Ownership Structure --- Value of Firms --- Goodwill --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- National Government Expenditures and Related Policies: General --- Monetary economics --- Currency --- Foreign exchange --- Financial services law & regulation --- Banking --- Public finance & taxation --- Currencies --- Exchange rates --- Hedging --- Conventional peg --- Money --- Financial regulation and supervision --- Public expenditure review --- Expenditure --- Financial risk management --- Banks and banking --- Expenditures, Public --- Thailand