Add to ORKGOn the predictability of common risk factors in the US and UK interest rate swap markets: Evidence from non-linear and linear model
Recent empirical finance research has suggested the potential for series to exhibit non-linear adjus...
A number of authors have identified a small set of economic variables which can predict excess US st...
We examine what are the common factors that determine systematic credit risk, and estimate and inter...
This paper explores the ability of common risk factors to predict the dynamics of US and UK interest...
This paper produces evidence in support of the existence of common risk factors in the US and UK in...
This paper explores the ability of factor models to predict the dynamics of US and UK interest rate ...
This paper explores the ability of factor models to predict the dynamics of US and UK interest rate ...
In this paper we aim to link the volatility of interest rate swap (hereafter, IRS) markets to the ma...
In this paper we aim to link the volatility of interest rate swap (hereafter, IRS) markets to the ma...
The main factors which drive swap spreads are interest rates, credit risks and liquidity risks. The ...
This thesis focuses on the linkages between volatility of interest rate swaps (hereafter, IRS) and m...
We identify a "slope" factor in exchange rates. High interest rate currencies load more on this slop...
This paper examines time-series predictability of bilateral exchange rates from linear factor models...
Recent empirical finance research has suggested the potential for series to exhibit non-linear adjus...
We systematically examine the comparative predictive performance of a number of linear and non-linea...
Recent empirical finance research has suggested the potential for series to exhibit non-linear adjus...
A number of authors have identified a small set of economic variables which can predict excess US st...
We examine what are the common factors that determine systematic credit risk, and estimate and inter...
This paper explores the ability of common risk factors to predict the dynamics of US and UK interest...
This paper produces evidence in support of the existence of common risk factors in the US and UK in...
This paper explores the ability of factor models to predict the dynamics of US and UK interest rate ...
This paper explores the ability of factor models to predict the dynamics of US and UK interest rate ...
In this paper we aim to link the volatility of interest rate swap (hereafter, IRS) markets to the ma...
In this paper we aim to link the volatility of interest rate swap (hereafter, IRS) markets to the ma...
The main factors which drive swap spreads are interest rates, credit risks and liquidity risks. The ...
This thesis focuses on the linkages between volatility of interest rate swaps (hereafter, IRS) and m...
We identify a "slope" factor in exchange rates. High interest rate currencies load more on this slop...
This paper examines time-series predictability of bilateral exchange rates from linear factor models...
Recent empirical finance research has suggested the potential for series to exhibit non-linear adjus...
We systematically examine the comparative predictive performance of a number of linear and non-linea...
Recent empirical finance research has suggested the potential for series to exhibit non-linear adjus...
A number of authors have identified a small set of economic variables which can predict excess US st...
We examine what are the common factors that determine systematic credit risk, and estimate and inter...