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

DOI10.1016/J.JECONOM.2009.10.010MaRDI QIDQ737878zbMATH OpenFDO

Authors D. Kharzeev

Publication date 12 August 2016

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

zbMATH Keywords

affine term structure modelsapproximate maximum likelihoodEuriborinternational term structure modelsLIBORout-of-sample model evaluationspecification analysis of term structure of interest rates

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
• Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics?
• Estimation of affine asset pricing models using the empirical characteristic function
• Exchange rates and interest rates: can term structure models explain currency movements?
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Maximum likelihood estimation of time-inhomogeneous diffusions.
• The relative efficiency of method of moments estimators
• Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
• What does the yield curve tell us about GDP growth?

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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