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Estimates of the short-term rate process in an arbitrage-free framework
Kazemi, Hossein; Mahdavi, Mahnaz; Salazar, Brett - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 577-589
Persistent link: https://www.econbiz.de/10002171480
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Three essays on empirical aspects of credit markets
Hofmann, Boris - 2001
Persistent link: https://www.econbiz.de/10001644917
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What might central banks lose or gain in case of Euro adoption : a GARCH-analysis of money market rates for Sweden, Denmark and the UK
Buscher, Herbert S.; Gabrisch, Hubert - 2011
This study deals with the question whether the central banks of Sweden, Denmark and the UK can really influence short-term money markets and thus, would lose this influence in case of Euro adoption. We use a GARCH-M-GED model with daily money market rates. The model reveals the co-movement...
Persistent link: https://www.econbiz.de/10009162063
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News and interest rate expectations : a study of six central banks
Connolly, Ellis; Kohler, Marion - 2004
Persistent link: https://www.econbiz.de/10002499863
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News and interest rate expectations : a study of six central banks
Connolly, Ellis (contributor); Kohler, Marion (contributor) - 2004
Persistent link: https://www.econbiz.de/10003087901
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News and interest rate expectations : a study of six central banks
Connolly, Ellis; Kohler, Marion - In: The future of inflation targeting : proceedings of a …, (pp. 108-134). 2004
Persistent link: https://www.econbiz.de/10003256446
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Determinants of treasury-LIBOR swap spreads
Malhotra, Davinder Kumar; Bhargava, Vivek; Chaudhry, Mukesh - In: Review of Pacific Basin financial markets and policies 8 (2005) 4, pp. 687-705
Persistent link: https://www.econbiz.de/10003280297
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The excess sensitivity of long-term interest rates : evidence and implications for macroeconomic models
Gürkaynak, Refet S.; Sack, Brian; Swanson, Eric T. - 2003
Persistent link: https://www.econbiz.de/10001828363
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Common risk factors in the US and UK interest rate swap markets : evidence from a non-linear vector autoregression approach
Lekkos, Ilias; Milas, Costas - 2002
Persistent link: https://www.econbiz.de/10001664578
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An analysis of UK swap yields
Akram, Tanweer; Mamun, Khawaja Abdullah al - In: Journal of post-Keynesian economics 46 (2023) 4, pp. 566-586
Persistent link: https://www.econbiz.de/10014391604