Common Factors in Eurocurrency Rates: A Dynamic Analysis
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- Damiana Giuseppina Costanzo & Damiano Bruno Silipo & Marianna Succurro, 2013. "Over-Indebtedness And Innovation: Some Preliminary Results," Working Papers 201304, Università della Calabria, Dipartimento di Economia, Statistica e Finanza "Giovanni Anania" - DESF.
- Konstantinos Drakos, 2004. "A Note on Sector, Rating, and Maturity Effects on Risk Premia," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 3(3), pages 201-216, December.
More about this item
KeywordsCointegration; Common Factors; Eurocurrency Market; Principal Component Analysis;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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