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

DOI10.1016/j.jeconom.2009.10.010zbMath1441.62673MaRDI QIDQ737878

D. Kharzeev

Publication date: 12 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH 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

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62P05: Applications of statistics to actuarial sciences and financial mathematics