Common Risk Factors in the US and UK Interest Rate Swap Markets: Evidence From a Non-linear Vector Autoregression Approach

SSRN Electronic Journal ◽

10.2139/ssrn.301362 ◽

2002 ◽

Author(s):

Costas Milas ◽

Ilias Lekkos

Keyword(s):

Risk Factors ◽

Interest Rate ◽

Vector Autoregression ◽

Interest Rate Swap ◽

Linear Vector ◽

The Us ◽

Common Risk Factors ◽

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Common risk factors in the U.S. and UK interest rate swap markets: Evidence from a nonlinear vector autoregression approach

Journal of Futures Markets ◽

10.1002/fut.10116 ◽

2004 ◽

Vol 24 (3) ◽

pp. 221-250 ◽

Author(s):

Ilias Lekkos ◽

Costas Milas

Keyword(s):

Risk Factors ◽

Interest Rate ◽

Vector Autoregression ◽

Interest Rate Swap ◽

Common Risk Factors ◽

Nonlinear Vector ◽

Rate Swap ◽

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Forecasting interest rate swap spreads using domestic and international risk factors: evidence from linear and non-linear models

Journal of Forecasting ◽

10.1002/for.1048 ◽

2007 ◽

Vol 26 (8) ◽

pp. 601-619 ◽

Author(s):

Ilias Lekkos ◽

Costas Milas ◽

Theodore Panagiotidis

Keyword(s):

Risk Factors ◽

Interest Rate ◽

Linear Models ◽

Interest Rate Swap ◽

Swap Spreads ◽

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Determinants of interest rate swap spreads in the US: bounds testing approach to cointegration

Applied Financial Economics ◽

10.1080/09603107.2011.613757 ◽

2011 ◽

Vol 22 (4) ◽

pp. 331-338 ◽

Author(s):

Yuki Toyoshima

Keyword(s):

Interest Rate ◽

Bounds Testing ◽

Interest Rate Swap ◽

The Us ◽

Bounds Testing Approach ◽

Testing Approach ◽

Swap Spreads ◽

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The effect of Fed monetary policy regimes on the US interest rate swap spreads

Review of Financial Economics ◽

10.1016/j.rfe.2006.05.002 ◽

2007 ◽

Vol 16 (4) ◽

pp. 375-399 ◽

Author(s):

Ying Huang ◽

Carl R. Chen

Keyword(s):

Monetary Policy ◽

Interest Rate ◽

Policy Regimes ◽

Interest Rate Swap ◽

The Us ◽

Swap Spreads ◽

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The Components of Interest Rate Swap Spreads: Theory and International Evidence

10.2469/dig.v33.n3.1316 ◽

2003 ◽

Vol 33 (3) ◽

pp. 34-36

Author(s):

Robert A. McLean

Keyword(s):

Interest Rate ◽

Interest Rate Swap ◽

International Evidence ◽

Swap Spreads ◽

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Fiscal policy events and interest rate swap spreads: Evidence from the EU

Journal of International Financial Markets Institutions and Money ◽

10.1016/j.intfin.2005.12.002 ◽

2007 ◽

Vol 17 (3) ◽

pp. 261-276 ◽

Author(s):

António Afonso ◽

Rolf Strauch

Keyword(s):

Fiscal Policy ◽

Interest Rate ◽

Interest Rate Swap ◽

Swap Spreads ◽

Rate Swap ◽

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Interest Rate Swap Compounding Formulae

SSRN Electronic Journal ◽

10.2139/ssrn.3882163 ◽

2021 ◽

Author(s):

Nicholas Burgess

Keyword(s):

Interest Rate ◽

Interest Rate Swap ◽

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Centralized Trading, Transparency and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd-Frank Act

SSRN Electronic Journal ◽

10.2139/ssrn.2716066 ◽

2016 ◽

Author(s):

Evangelos Benos ◽

Richard Payne ◽

Michalis Vasios

Keyword(s):

Interest Rate ◽

Market Liquidity ◽

Interest Rate Swap ◽

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Trading Risk and Volatility in Interest Rate Swap Spreads

SSRN Electronic Journal ◽

10.2139/ssrn.596611 ◽

2004 ◽

Author(s):

John Kambhu

Keyword(s):

Interest Rate ◽

Interest Rate Swap ◽

Swap Spreads ◽

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The International Linkage of Interest Rate Swap Spreads: The Yen-Dollar Markets

Economic Theory, Dynamics and Markets ◽

10.1007/978-1-4615-1677-4_22 ◽

2001 ◽

pp. 287-308

Author(s):

Young Ho Eom ◽

Marti G. Subrahmanyam ◽

Jun Uno

Keyword(s):

Interest Rate ◽

Interest Rate Swap ◽

Swap Spreads ◽

International Linkage ◽

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