Factor models and the correlation structure of interest rates: Some evidence for USD, GBP, DEM and JPY

Journal of Banking and Finance

Volumn 25, Issue 8, 2001, Pages 1427-1445

  Lekkos, Ilias ^a  

^a Bank England Threadneedle St E ^*  (United Kingdom)

Author keywords

Barbell strategy; C52; E43; Factor models; Interest rate correlations

Indexed keywords

EID: 0042908898     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(00)00136-9     Document Type: Article

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