Sources of Time Variation in the Covariance Matrix of Interest Rates
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- Dennis Philip & Chihwa Kao & Giovanni Urga, 2007. "Testing for Instability in Factor Structure of Yield Curves," Center for Policy Research Working Papers 96, Center for Policy Research, Maxwell School, Syracuse University.
- Perignon, Christophe & Smith, Daniel R., 2007. "Yield-factor volatility models," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3125-3144, October.
- Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2007.
"Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trend,"
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92, Center for Policy Research, Maxwell School, Syracuse University.
- Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2007. "Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trends," Working Papers 0708, Department of Economics and Technology Management, University of Bergamo.
- Goyal, Amit & Pérignon, Christophe & Villa, Christophe, 2008. "How common are common return factors across the NYSE and Nasdaq?," Journal of Financial Economics, Elsevier, vol. 90(3), pages 252-271, December.
- Perignon, Christophe & Smith, Daniel R. & Villa, Christophe, 2007. "Why common factors in international bond returns are not so common," Journal of International Money and Finance, Elsevier, vol. 26(2), pages 284-304, March.
- Liu, Baisen & Xu, Lin & Zheng, Shurong & Tian, Guo-Liang, 2014. "A new test for the proportionality of two large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 293-308.
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"Empirical evidence on jumps in the term structure of the US Treasury Market,"
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- Mardi Dungey & Michael McKenzie & Vanessa Smith, 2007. "Empirical Evidence On Jumps In The Term Structure Of The Us Treasury Market," CAMA Working Papers 2007-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Galluccio, Stefano & Roncoroni, Andrea, 2006. "A new measure of cross-sectional risk and its empirical implications for portfolio risk management," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2387-2408, August.
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