Concepedia

Swap curve dynamics across markets: Case of US dollar versus HK dollar

Ying Huang, Salih N. Neftçi, Feng Guo

Journal of International Financial Markets Institutions and Money · 2006 · 11 citations · 20 references

DOI

Concepts

References

20

MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY

Søren Johansen, Katarina Jusélius · Oxford Bulletin of Economics and Statistics · 1990 · 14.1K citations

, , +6

Generalized impulse response analysis in linear multivariate models

M. Hashem Pesaran, Yongcheol Shin · Economics Letters · 1998 · 6K citations

, , +8

Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots

John Y. Campbell, Pierre Perrón · NBER Macroeconomics Annual · 1991 · 1.3K citations · Full text

, , +14

An Econometric Model of the Term Structure of Interest-Rate Swap Yields

Darrell Duffie, Kenneth J. Singleton · The Journal of Finance · 1997 · 620 citations

, , +17

Generalised Impulse Response Analysis in Linear Multivariate Models

M. Hashem Pesaran, Yongcheol Shin · RePEc: Research Papers in Economics · 1997 · 418 citations

, , +14