A factor model of term structure slopes in eurocurrency markets
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- Emilio Dominguez & Alfonso Novales, 2002. "A factor model of term structure slopes in Eurocurrency markets," Applied Economics Letters, Taylor & Francis Journals, vol. 9(9), pages 585-593.
References listed on IDEAS
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- Abad, Pilar & Novales, Alfonso, 2005.
"An error correction factor model of term structure slopes in international swap markets,"
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- Pilar Abad & Alfonso Novales, 2002. "An Error Correction Factor Model of Term Structure Slopes in International Swaps Markets," Documentos de Trabajo del ICAE 0222, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Krylova, Elizaveta & Nikkinen, Jussi & Vähämaa, Sami, 2009. "Cross-dynamics of volatility term structures implied by foreign exchange options," Journal of Economics and Business, Elsevier, vol. 61(5), pages 355-375, September.
More about this item
KeywordsTerm structure of interest rates; Term structure slope; Principal components; Eurocurrencies.;
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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