Estimating yield curves from swap, BUBOR and FRA data
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- Klára Pintér & György Pulai, 2009. "Measuring interest rate expectations from market yields: topical issues," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), vol. 4(2), pages 34-42, July.
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Keywordsyield curve; interest rate swaps.;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-06-21 (All new papers)
- NEP-FMK-2008-06-21 (Financial Markets)
- NEP-MAC-2008-06-21 (Macroeconomics)
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