When it comes to foreign exchange carry trade strategy, the definition is straightforward: an investor borrows 1 USD in the US (low interest country) and invests that $1 to AU (high interest country). ...
What is the correct methodology to compute constant maturity futures price. I've met in some papers that do the following. To create constant maturity synthetic futures prices with maturity $m = 30, ...
I'm trying to replicate instrument which is untradable. My approach is analysis of cointegration between it and three another time series (four variables in model) which correlates with it. I found ...