## Abstract This paper studies nonstationarities in a panel of Canadian and US interest rates of different maturities and risk. We focus on methods which model the crossβsectional dependence within the panel as a linear dynamic factor model, and decompose our data into common and idiosyncratic comp
β¦ LIBER β¦
Information Risk in TIPS Market: An Analysis of Nominal and Real Interest Rates
β Scribed by Quentin C. Chu; Deborah N. Pittman; Linda Q. Yu
- Publisher
- Springer US
- Year
- 2005
- Tongue
- English
- Weight
- 189 KB
- Volume
- 24
- Category
- Article
- ISSN
- 0924-865X
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