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Identifying the factors that affect interest-rate swap spreads : some evidence from the United States and the United Kingdom

Lekkos, Ilias; Milas, Costas - In: The journal of futures markets 21 (2001) 8, pp. 737-768

Persistent link: https://www.econbiz.de/10001591750

Time-varying excess returns on UK government bonds : a non-linear approach

Lekkos, Ilias; Milas, Costas - In: Journal of banking & finance 28 (2004) 1, pp. 45-62

Persistent link: https://www.econbiz.de/10001856954

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

Lekkos, Ilias; Milas, Costas - In: The journal of futures markets 24 (2004) 3, pp. 221-250

Persistent link: https://www.econbiz.de/10001968617

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 (contributor); Milas, Costas (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003332063

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

Lekkos, Ilias (contributor); Milas, Costas (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003332090

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

Lekkos, Ilias; Milas, Costas; Panagiōtidēs, Theodōros - In: Journal of forecasting 26 (2007) 8, pp. 601-619

Persistent link: https://www.econbiz.de/10003608157

Common Risk Factors in the Us and UK Interest Rate Swap Markets : Evidence from a Non-Linear Vector Autoregression Approach

Milas, Costas - 2005

This paper produces evidence in support of the existence of common risk factors in the US and UK interest rate swap markets. Using a multivariate smooth transition autoregression (STVAR) framework, we show that the dynamics of the US and UK swap spreads are best described by a regime-switching...

Persistent link: https://www.econbiz.de/10012737646

Common risk factors in the US and UK interest rate swap markets : evidence from a non-linear vector autoregression approach

Lekkos, Ilias; Milas, Costas - 2002

Persistent link: https://www.econbiz.de/10001664578

Empirical evidence on interest rate dynamics : evidence from USD, DM, GBP and JPY interest rates

Lekkos, Ilias - 1998

Persistent link: https://www.econbiz.de/10001403918

Distributional properties of spot and forward interest rates : USD, DEM, GBP, and JPY

Lekkos, Ilias - In: The journal of fixed income 8 (1999) 4, pp. 35-54

Persistent link: https://www.econbiz.de/10001432402