A tale of two yield curves: modeling the joint term structure of dollar and euro interest rates

DOI10.1016/j.jeconom.2009.10.010zbMath1441.62673MaRDI QIDQ737878

D. Kharzeev

Publication date: 12 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

affine term structure modelsapproximate maximum likelihoodEuriborinternational term structure modelsLIBORout-of-sample model evaluationspecification analysis of term structure of interest rates

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (4)

Cohort and value-based multi-country longevity risk management ⋮ Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions ⋮ Studying term structure of SHIBOR with the two-factor Vasicek model ⋮ European spreads at the interest rate lower bound

Cites Work

• Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
• Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
• What does the yield curve tell us about GDP growth?
• Exchange rates and interest rates: can term structure models explain currency movements?
• The relative efficiency of method of moments estimators
• Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics?
• Maximum likelihood estimation of time-inhomogeneous diffusions.
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Estimation of affine asset pricing models using the empirical characteristic function

This page was built for publication: A tale of two yield curves: modeling the joint term structure of dollar and euro interest rates