Identifying the factors that affect interest-rate swap spreads: Some evidence from the United States and the United Kingdom

Journal of Futures Markets

Volumn 21, Issue 8, 2001, Pages 737-768

  Lekkos, Ilias ^a   Milas, Costas ^b  

^a LANCASTER UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF SHEFFIELD   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035615263     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.1803     Document Type: Article

References (5)

1. Anderson, N., Breedon, F., Deacon, A., Derry, M., & Murphy, G. (1996). Estimating and interpreting the yield curve. London: Wiley.
2. Bianchi, M. (1997, February)- Estimation of forward rate curves from conventional and index-linked bonds [Mimeo]. Bank of England, London, England.
3. Brown K., Harlow, W. V., & Smith, D. J. (1994). An empirical analysis of interest rate swap spreads. Journal of Fixed Income, 3, 61-78.
4. Cossin, D., & Pirotte, H. (1997). Swap credit risk: An empirical investigation on transaction data. Journal of Banking and Finance, 21, 1351-1373.
5. Doornik, J.A., & Hendry, D. F. (1997). Modelling dynamic systems using PcFiml 9.0. for Windows. London: International Thomson Business Press.