Dynamic linkages between US and Eurodollar interest rates: new evidence from causality in quantiles
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Finance
Link
https://link.springer.com/content/pdf/10.1007/s12197-020-09533-5.pdf
Reference22 articles.
1. Ajayi RA, Serletis A (2009) Testing for causality in the transmission of Eurodollar and US interest rates. Appl Financ Econ 19(6):439–443
2. Andrews D (1993) Tests for parameter instability and structural change with unknown change point. Econometrica 61(4):821–856
3. Ang A, Chen J (2002) Asymmetric correlations of equity portfolios. Rev Financ Stud 63:443–494
4. Bali TG (2007) Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions. Ann Oper Res 151(1):151–178
5. Bremnes H., Gjerde O, Soettem F (2001) Linkages among interest rates in the United States, Germany and Norway, 103(1), 127–145
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