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An empirical examination of basic valuation models for plain vanilla U.S. interest rate swaps

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  • Minton, Bernadette A.
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    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 44 (1997)
    Issue (Month): 2 (May)
    Pages: 251-277

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    Handle: RePEc:eee:jfinec:v:44:y:1997:i:2:p:251-277

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    Web page: http://www.elsevier.com/locate/inca/505576

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    1. Cooper, Ian A & Mello, Antonio S, 1991. " The Default Risk of Swaps," Journal of Finance, American Finance Association, vol. 46(2), pages 597-620, June.
    2. Sundaresan, S., 1989. "Valuation Of Swaps," Papers, Columbia - Center for Futures Markets 183, Columbia - Center for Futures Markets.
    3. Victor Zarnowitz, 1992. "Business Cycles: Theory, History, Indicators, and Forecasting," NBER Books, National Bureau of Economic Research, Inc, number zarn92-1, January.
    4. Sundaresan, S., 1989. "Valuation Of Swaps," Papers fb-_89-15, Columbia - Graduate School of Business.
    5. Beach, Charles M & MacKinnon, James G, 1978. "A Maximum Likelihood Procedure for Regression with Autocorrelated Errors," Econometrica, Econometric Society, Econometric Society, vol. 46(1), pages 51-58, January.
    6. Litzenberger, Robert H, 1992. " Swaps: Plain and Fanciful," Journal of Finance, American Finance Association, vol. 47(3), pages 831-50, July.
    7. Anatoli Kuprianov, 1994. "The role of interest rate swaps in corporate finance," Economic Quarterly, Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond, issue Sum, pages 49-68.
    8. Larry D. Wall & John J. Pringle, 1988. "Interest rate swaps: a review of the issues," Economic Review, Federal Reserve Bank of Atlanta, issue Nov, pages 22-40.
    9. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, Elsevier, vol. 25(1), pages 23-49, November.
    10. John Y. Campbell & N. Gregory Mankiw, 1986. "Are Output Fluctuations Transitory?," NBER Working Papers 1916, National Bureau of Economic Research, Inc.
    11. Barone-Adesi, Giovanni & Whaley, Robert E, 1987. " Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-20, June.
    12. Duffie, Darrell & Huang, Ming, 1996. " Swap Rates and Credit Quality," Journal of Finance, American Finance Association, vol. 51(3), pages 921-49, July.
    13. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, Econometric Society, vol. 47(5), pages 1287-94, September.
    14. Sun, Tong-sheng & Sundaresan, Suresh & Wang, Ching, 1993. "Interest rate swaps: An empirical investigation," Journal of Financial Economics, Elsevier, Elsevier, vol. 34(1), pages 77-99, August.
    15. Hull, John, 1989. "Assessing Credit Risk in a Financial Institution's Off-Balance Sheet Commitments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(04), pages 489-501, December.
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    Cited by:
    1. Marti G. Subrahmanyam & Anurag Gupta, 1998. "An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 98-068, New York University, Leonard N. Stern School of Business-.
    2. Antulio N. Bomfim, 2003. "Counterparty credit risk in interest rate swaps during times of market stress," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2003-09, Board of Governors of the Federal Reserve System (U.S.).
    3. Avouyi-Dovi, S. & Jondeau, E., 1999. "Modelling the French Swap Spread," Working papers, Banque de France 65, Banque de France.
    4. Robert R. Bliss, 2001. "Market discipline and subordinated debt: a review of some salient issues," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 24-45.
    5. Schröder, Thomas & Dunbar, Kwamie, 2010. "Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads," Working Papers 2010001, Sacred Heart University, John F. Welch College of Business.
    6. Andrew Clare & Ilias Lekkos, 2000. "An analysis of the relationship between international bond markets," Bank of England working papers 123, Bank of England.

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