A tale of two yield curves: modeling the joint term structure of dollar and euro interest rates
DOI10.1016/J.JECONOM.2009.10.010zbMATH Open1441.62673MaRDI QIDQ737878FDOQ737878
Authors: D. Kharzeev 
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
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Cites Work
- Estimation of affine asset pricing models using the empirical characteristic function
- What does the yield curve tell us about GDP growth?
- The relative efficiency of method of moments estimators
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Maximum likelihood estimation of time-inhomogeneous diffusions.
- Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
- Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
- Exchange rates and interest rates: can term structure models explain currency movements?
- Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics?
Cited In (9)
- Studying term structure of SHIBOR with the two-factor Vasicek model
- European spreads at the interest rate lower bound
- Cohort and value-based multi-country longevity risk management
- Econometric analysis of a continuous time multi-factor generalized Vasicek term structure model: International evidence
- Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics?
- Linear-quadratic term structure models for negative Euro area yields
- HOW DOES THE EURODOLLAR INTEREST RATE BEHAVE?
- Design and Estimation of Multi-Currency Quadratic Models*
- Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions
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