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A forecast evaluation of PCA-based adaptive forecasting schemes for the EURIBOR swap term structure
Blaskowitz, Oliver Jim - 2009
Persistent link: https://www.econbiz.de/10003934002
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Die Erwartungstheorie der Zinsstruktur, Geldpolitik und zeitvariable Risikoprämien : eine empirische Analyse des Euro-DM-Geldmarktes
Wasmund, Jörn - 1999
Die umfangreiche empirische Literatur zur Gültigkeit der Erwartungstheorie der Zinsstruktur in den USA hat einen "U … werden in Kapitel 2 unterschiedliche Theorien der Zinsstruktur dargestellt und die ökonometrisch-methodischen Testansätze der … diskutiert und mittels eines multivariaten ARCH-Ansatzes zeitvariable Risikoprämien in der deutschen Zinsstruktur nachgewiesen …
Persistent link: https://www.econbiz.de/10011401950
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The multifactor nature of the volatility of the eurodollar futures market
Chiarella, Carl; Tô, Thuy-duong - 2005
Persistent link: https://www.econbiz.de/10002721727
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The Federal funds market and the overnight Eurodollar market
Lee-Scheller, Young-Sook - In: Journal of banking & finance 27 (2003) 4, pp. 749-771
Persistent link: https://www.econbiz.de/10001745426
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Structure par terme des taux d'intérêt, volatilité et primes de risque : applications au marché de l'Eurolire
Drudi, Francesco; Violi, Roberto - In: Economie & prévision : EP (1999) 4/5, pp. 21-34
Persistent link: https://www.econbiz.de/10001490857
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Short-term eurocurrency rate behavior and specifications of cointegrating processes
Chiang, Thomas C.; Kim, Doseong - In: International review of economics & finance : IREF 9 (2000) 2, pp. 157-179
Persistent link: https://www.econbiz.de/10001523655
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Représentation VAR et test de la théorie des anticipations de la structure par terme
Jondeau, Eric - 1997
Persistent link: https://www.econbiz.de/10000968630
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A re-examination of real interest rate parity
Wu, Jyh-lin - In: The Canadian journal of economics 31 (1998) 4, pp. 837-851
Persistent link: https://www.econbiz.de/10001253520
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The federal funds market and the overnight Eurodollar market
Lee, Yungsook - 1999
Persistent link: https://www.econbiz.de/10001354921
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The Federal funds market and the overnight Eurodollar market
Lee, Yungsook - 1999
Overnight Federal funds and overnight Eurodollars are among the most liquid short-term assets that a bank can hold to acquire required reserves. They are traded overnight and denominated in U.S. dollars. They also have different characteristics: The Fed funds market and the Eurodollar market are...
Persistent link: https://www.econbiz.de/10010504317