Fitting Correlations Within and Between Bond Markets
AbstractIn this paper we estimate and test a multi-factor CIR model for three countries: the USA, Germany and the UK. We find that the estimated model reproduces not only the correlation within each of the bond markets considered but also those observed between markets, suggesting the existence of common factors.
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Bibliographic InfoPaper provided by Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics in its series International Economics Working Papers Series with number wpie004.
Length: 34 pages
Date of creation: Nov 2001
Date of revision:
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- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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- Fendel, Ralf, 2004. "Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates," Discussion Paper Series 1: Economic Studies 2004,24, Deutsche Bundesbank, Research Centre.
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