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An empirical analysis of the Australian dollar swap spreads

  • Fang, Victor
  • Muljono, Ronny
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    File URL: http://www.sciencedirect.com/science/article/B6VFF-47MCK3F-1/2/154f40361752e6a57f93eea84860346a
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    Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

    Volume (Year): 11 (2003)
    Issue (Month): 2 (April)
    Pages: 153-173

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    Handle: RePEc:eee:pacfin:v:11:y:2003:i:2:p:153-173
    Contact details of provider: Web page: http://www.elsevier.com/locate/pacfin

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    1. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, March.
    2. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
    3. Lars E.O. Svensson, 1994. "Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994," NBER Working Papers 4871, National Bureau of Economic Research, Inc.
    4. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    5. Benjamin M. Friedman & Kenneth Kuttner, 1993. "Why Does the Paper-Bill Spread Predict Real Economic Activity?," NBER Chapters, in: Business Cycles, Indicators and Forecasting, pages 213-254 National Bureau of Economic Research, Inc.
    6. Grinblatt, Mark, 1995. "An Analytic Solution for Interest Rate Swap Spreads," University of California at Los Angeles, Anderson Graduate School of Management qt9s13f3zx, Anderson Graduate School of Management, UCLA.
    7. Klaus Düllmann & Marliese Uhrig‐Homburg & Marc Windfuhr, 2000. "Risk structure of interest rates: an empirical analysis for Deutschemark‐denominated bonds," European Financial Management, European Financial Management Association, vol. 6(3), pages 367-388.
    8. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-89, October.
    9. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
    10. Bicksler, James & Chen, Andrew H, 1986. " An Economic Analysis of Interest Rate Swaps," Journal of Finance, American Finance Association, vol. 41(3), pages 645-55, July.
    11. Qiang Dai & Kenneth J. Singleton, 1997. "Specification Analysis of Affine Term Structure Models," NBER Working Papers 6128, National Bureau of Economic Research, Inc.
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