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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; Milas, Costas; Panagiotidis, Theodore - School of Business and Economics, Loughborough University - 2005
This paper explores the ability of common risk factors to predict the dynamics of US and UK interest rate swap spreads within a linear and a non-linear framework. We reject linearity for the US and UK swap spreads in favour of a regime-switching smooth transition vector autoregressive (STVAR)...
Persistent link: https://www.econbiz.de/10005385325
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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; Panagiotidis, Theodore; Lekkos, Ilias - Centre for Economic Research, School of Economics and … - 2005
This paper explores the ability of common risk factors to predict the dynamics of US and UK interest rate swap spreads within a linear and a non-linear framework. We reject linearity for the US and UK swap spreads in favour of a regime-switching smooth transition vector autoregressive (STVAR)...
Persistent link: https://www.econbiz.de/10005416692
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Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models
Milas, Costas; Panagiotidis, Theodore; Lekkos, Ilias - Centre for Economic Research, School of Economics and … - 2006
This paper explores the ability of factor models to predict the dynamics of US and UK interest rate swap spreads within a linear and a non-linear framework. We reject linearity for the US and UK swap spreads in favour of a regime-switching smooth transition vector autoregressive (STVAR) model,...
Persistent link: https://www.econbiz.de/10005416707
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Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models.
Lekkos, Ilias; Milas, Costas; Panagiotidis, Theodore - School of Business and Economics, Loughborough University - 2006
This paper explores the ability of factor models to predict the dynamics of US and UK interest rate swap spreads within a linear and a non-linear framework. We reject linearity for the US and UK swap spreads in favour of a regime-switching smooth transition vector autoregressive (STVAR) model,...
Persistent link: https://www.econbiz.de/10005423035