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

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

Lekkos, Ilias, (2006)

On the predictability of common risk factors in the US and UK interest rate swap markets: Evidence from non-linear and linear models.

Lekkos, Ilias, (2005)

On the predictability of common risk factors in the US and UK interest rate swap markets:Evidence from non-linear and linear models.

Milas, Costas, (2005)