Common Risk Factors in the U.S. and UK Interest Rate Swap Markets: Evidence from a Nonlinear Vector Autoregression Approach

Journal of Futures Markets

Volumn 24, Issue 3, 2004, Pages 221-250

  Lekkos, Ilias ^b   Milas, Costas ^a  

^a CITY UNIVERSITY   (United Kingdom)

^b Scotland Treasury Services   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0842281918     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.10116     Document Type: Review

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