Chaudhry, Mukesh K.; Christie‐David, Rohan A.; … - In: Managerial Finance 24 (1998) 12, pp. 1-15
Notes increasing investment by US pension funds in foreign currency denominated assets and briefly outlines previous research on the links between various types of assets/currencies. Uses cointegration methodologies on 1978‐1996 futures data for commodities and four currencies (Swiss, German,...