A tale of two yield curves: modeling the joint term structure of dollar and euro interest rates (Q737878)
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scientific article; zbMATH DE number 6616454
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| English | A tale of two yield curves: modeling the joint term structure of dollar and euro interest rates |
scientific article; zbMATH DE number 6616454 |
Statements
A tale of two yield curves: modeling the joint term structure of dollar and euro interest rates (English)
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12 August 2016
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affine term structure models
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international term structure models
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approximate maximum likelihood
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LIBOR
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Euribor
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specification analysis of term structure of interest rates
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out-of-sample model evaluation
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0.7783490419387817
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0.7783099412918091
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0.7728902101516724
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0.7554097771644592
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0.7544041275978088
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