Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach
Year of publication: |
2005-04
|
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Authors: | Blaskowitz, Oliver ; Herwartz, Helmut ; Santiago, Gonzalo de Cadenas |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | Principal components | Factor Analysis | Ex–ante forecasting | EURIBOR swap rates | Term structure | Trading strategies |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number SFB649DP2005-024 42 pages |
Classification: | C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G29 - Financial Institutions and Services. Other |
Source: |
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Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach
Blaskowitz, Oliver J., (2005)
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Modeling the FIBOR/EURIBOR Swap Term Structure : An Empirical Approach
Blaskowitz, Oliver J., (2005)
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