Swap curve dynamics across markets: Case of US dollar versus HK dollar

Author:

Huang Ying,Neftci Salih N.,Guo Feng

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference19 articles.

1. An empirical analysis of interest rate swap spreads;Brown;The Journal of Fixed Income,1994

2. Campbell, J.Y., Perron, P., 1991. Pitfalls and opportunities: what macroeconomists should know about unit roots? NBER Macroeconomics Annual 6, No. 141.

3. Chen, Y.C., Wong, K.Y., 2004. Interbank rate behavior and financial crisis: the case of Hong Kong. Working paper. University of Washington.

4. On the term structure of default premia in the swap and LIBOR markets;Collin-Dufresne;Journal of Finance,2001

5. An econometric model of the term structure of interest rate swap yields;Duffie;Journal of Finance,1997

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