TY  - RPRT
AU  - Novales Cinca, Alfonso
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 IRSmarkets in eight major currencies can be approximately identified as the slopes for the US dollarand 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  -