TY - RPRT AU - Novales Cinca, Alfonso Santiago AU - Abad Romero, Pilar PY - 2002 UR - https://hdl.handle.net/20.500.14352/64512 AB - The first two principal components in the vector of term structure slopes from IRS markets in eight major currencies can be approximately identified as the slopes for the US dollar and Deutsche mark. Each of the eight slopes considered is cointegrated... LA - eng A3 - Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid KW - Factor models KW - Term structure of interest rates KW - Principal components KW - Swap markets KW - IRS TI - An error correction factor model of term structure slopes in international swaps markets TY - technical report VL - 2002 ER -