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The Forecasting Ability of Factor Models of the Term Structure of IRS Markets

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Author Info
Pilar Abad (Departamento de Economía Aplicada. Universidad de Vigo)
Alfonso Novales () (Departamento de Economía Cuantitativa. Universidad Complutense de Madrid)

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Paper provided by Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales in its series Documentos del Instituto Complutense de Análisis Económico with number 0221.

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Date of creation: 2002
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Handle: RePEc:ucm:doicae:0221

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  1. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 369-80, October.
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  2. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-95, October.
  3. Knez, Peter J & Litterman, Robert & Scheinkman, Jose Alexandre, 1994. " Explorations into Factors Explaining Money Market Returns," Journal of Finance, American Finance Association, vol. 49(5), pages 1861-82, December. [Downloadable!] (restricted)
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