Conventional approaches to examining the expectation hypothesis of interest rates assume a parametric linear specification among variables. In contrast, this paper tests the hypothesis using a flexible nonlinear inference approach proposed by Hamilton (2001). We examine the impact of the...

This paper examines the pricing performance of interest rate option pricing models in the Euribor interest rate cap markets. We investigate the sensitivity of the prices of cap derivatives to alternative specifications of the forward interest rate derivatives. We use a term structure-constrained...

This paper studies bank distress in MENA country and addresses the question of whether mergers are commonly considered as a solution for resolving individual bank distress. Both specific bank levels and macro variables are deployed to predict banking distress. In line with other recent papers,...