A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates

Journal of Econometrics

Volumn 162, Issue 1, 2011, Pages 55-70

  Egorov, Alexei V ^a   Li, Haitao ^b   Ng, David ^c  

^a WEST VIRGINIA UNIVERSITY   (United States)

^b UNIVERSITY OF MICHIGAN   (United States)

^c Cornell University ^*  (United States)

Author keywords

Affine term structure models; Approximate maximum likelihood; Euribor; International term structure models; LIBOR; Out of sample model evaluation; Specification analysis of term structure of interest rates

Indexed keywords

AFFINE TERM STRUCTURE MODELS; APPROXIMATE MAXIMUM LIKELIHOOD; EURIBOR; INTERNATIONAL TERM STRUCTURE MODELS; LIBOR; OUT-OF-SAMPLE MODEL EVALUATION;

FINANCIAL DATA PROCESSING; INTERNATIONAL TRADE; MAXIMUM LIKELIHOOD ESTIMATION; SPECIFICATIONS;

PRINCIPAL COMPONENT ANALYSIS;

EID: 79952991290     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.10.010     Document Type: Article

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