Lekkos, Ilias - In: Journal of Business Finance & Accounting 30 (2003-06) 5-6, pp. 799-828
In this paper we examine the stationarity of all the rates comprising the USD, GBP, DM and JPY spot and forward term structures. Instead of focussing on short maturity interest rates, as most other papers do, we perform a detailed analysis of the whole range of spot and forward interest rates of...