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Australian and US interest rate swap markets: comparison and linkages

✍ Scribed by Francis In; Victor Fang; Rob Brown


Book ID
110936428
Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
190 KB
Volume
44
Category
Article
ISSN
0810-5391

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Non-linear interest rate dynamics and fo
✍ David G. McMillan πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 224 KB πŸ‘ 1 views

## Abstract Recent empirical finance research has suggested the potential for interest rate series to exhibit non‐linear adjustment to equilibrium. This paper examines a variety of models designed to capture these effects and compares both their in‐sample and out‐of‐sample performance with a linear