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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. Benjamin M. Friedman & Kenneth N. Kuttner, 1991. "Why does the paper-bill spread predict real economic activity?," Working Paper Series, Macroeconomic Issues 91-16, Federal Reserve Bank of Chicago.
    2. 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.
    3. Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
    4. 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.
    5. 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.
    6. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, March.
    7. Svensson, L.E.O., 1994. "Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994," Papers 579, Stockholm - International Economic Studies.
    8. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    9. Qiang Dai & Kenneth J. Singleton, 1997. "Specification Analysis of Affine Term Structure Models," NBER Working Papers 6128, National Bureau of Economic Research, Inc.
    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. 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.
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