A synthetic factor approach to the estimation of value-at-risk of a portfolio of interest rate swaps
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- Cossin, Didier & Pirotte, Hugues, 1997.
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- Ho, Teng-Suan & Stapleton, Richard C & Subrahmanyam, Marti G, 1995. "Multivariate Binomial Approximations for Asset Prices with Nonstationary Variance and Covariance Characteristics," Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 1125-1152.
- Choi, Seungmook & Wohar, Mark E., 1995. "The expectations theory of interest rates: Cointegration and factor decomposition," International Journal of Forecasting, Elsevier, vol. 11(2), pages 253-262, June.
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- T.S. Ho & Richard C. Stapleton & Marti G. Subrahmanyam, 1998. "The risk of a currency swap: a multivariate-binomial methodology," European Financial Management, European Financial Management Association, vol. 4(1), pages 9-27.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
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