A global model of international yield curves: no-arbitrage term structure approach
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- Iryna Kaminska & Andrew Meldrum & James Smith, 2013. "A Global Model Of International Yield Curves: No‐Arbitrage Term Structure Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 18(4), pages 352-374, October.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Carvalho, Daniel & Fidora, Michael, 2015.
"Capital inflows and euro area long-term interest rates,"
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- Daniel Carvalho & Michael Fidora, 2014. "Capital inflows and euro area long-term interest rates," Working Papers w201410, Banco de Portugal, Economics and Research Department.
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- Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2016. "Overseas unspanned factors and domestic bond returns," Bank of England working papers 618, Bank of England.
- Jonathan Hambur & Lynne Cockerell & Christopher Potter & Penelope Smith & Michelle Wright, 2015. "Modelling the Australian Dollar," RBA Research Discussion Papers rdp2015-12, Reserve Bank of Australia.
More about this item
KeywordsTerm structure models; exchange rates.;
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-23 (All new papers)
- NEP-CBA-2011-04-23 (Central Banking)
- NEP-EEC-2011-04-23 (European Economics)
- NEP-MON-2011-04-23 (Monetary Economics)
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