Determinants of interest rate swap spreads
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 22 (1998)
Issue (Month): 12 (December)
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Web page: http://www.elsevier.com/locate/jbf
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Discussion Paper Series
2005_9, Department of Economics, Loughborough University, revised Sep 2005.
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- repec:wyi:journl:002109 is not listed on IDEAS
- Adam Kobor & Lishan Shi & Ivan Zelenko, 2005. "What Determines U.S. Swap Spreads?," World Bank Publications, The World Bank, number 7272, October.
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- In, Francis & Brown, Rob & Fang, Victor, 2003. "Modeling volatility and changes in the swap spread," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 545-561.
- Feldhütter, Peter & Lando, David, 2008. "Decomposing swap spreads," Journal of Financial Economics, Elsevier, vol. 88(2), pages 375-405, May.
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