Pliego, Jesús Bravo - In: Revista de Administración, Finanzas y Economía … 2 (2008) 1, pp. 44-57
In this paper, the degree of the relationship amongst the underlying forward interest rates to the Mexican TIIE-28-day swap interest rate curve is analyzed. It is found empirically that there are strong correlations between term-adjacent forward interest rates, but such correlations become weak...