Common Risk Factors in the US and UK Interest Rate Swap Markets: Evidence From a Non-linear Vector Autoregression Approach

2002 ◽  
Author(s):  
Costas Milas ◽  
Ilias Lekkos
Keyword(s):  
Risk Factors ◽  
Interest Rate ◽  
Vector Autoregression ◽  
Interest Rate Swap ◽  
Linear Vector ◽  
The Us ◽  
Non Linear ◽  
Common Risk Factors ◽  
Rate Swap
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