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An empirical examination of the convexity bias in the pricing of interest rate swaps
Gupta, Anurag; Subrahmanyam, Marti G. - In: Journal of financial economics 55 (2000) 2, pp. 239-279
Persistent link: https://www.econbiz.de/10001448506
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Effects of the Fed's enhanced swap line with the ECB on CIP deviations
Moessner, Richhild; Allen, William A. - In: Applied economics 53 (2021) 10, pp. 1178-1183
Persistent link: https://www.econbiz.de/10012425457
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An empirical analysis of the pricing of interest rate caps
Jegadeesh, Narasimhan - 1994
Persistent link: https://www.econbiz.de/10000885251
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Adaptive forecasting of the EURIBOR swap term structure
Blaskowitz, Oliver (contributor);  … - 2008
employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing …-ante forecasting ; EURIBOR swap rates ; term structure ; directional accuracy ; big hit ability …
Persistent link: https://www.econbiz.de/10003636128
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A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure
Blaskowitz, Oliver (contributor);  … - 2008
specifications. -- Model selection ; principal components ; factor analysis ; exante forecasting ; EURIBOR swap term structure …
Persistent link: https://www.econbiz.de/10003770821
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Adaptive forecasting of the EURIBOR swap term structure
Blaskowitz, Oliver; Herwartz, Helmut - In: Journal of forecasting 28 (2009) 7, pp. 575-594
Persistent link: https://www.econbiz.de/10003902215
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Extracting information from asset prices : the methodology of EMU calculators
Favero, Carlo A. (contributor) - In: European economic review : EER 44 (2000) 9, pp. 1607-1632
Persistent link: https://www.econbiz.de/10001517889
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Extracting information from asset prices : the methodology of EMU calculators
Favero, Carlo A. (contributor) - 1997
Persistent link: https://www.econbiz.de/10000998756