We assess the ability of the factors proposed in previous research to account for the stochastic
evolution of the term structure of the US and UK swap spreads. Using as factor proxies the …

It is frequently suggested that the globalisation of financial markets has been responsible for
reducing the scope for independent monetary policy action by strengthening the …

… In this article, Lekkos argues that much of the apparent explanatory power of this factor …
Lekkos then demonstrates that even in a simulated economy with completely independent …

This paper produces evidence in support of the existence of common risk factors in the US
and UK interest rate swap markets. Using a multivariate smooth transition autoregression (…

To shed light on whether and how effective MCDA can be in security screening, as an alternative
or complementary modeling procedure, to a real-world business model currently used …

This paper provides an empirical examination of the behaviour of excess returns on UK
government discount bonds in terms of risk factors such as the forward premium, the slope of the …

The aim of this paper is to develop models for producing accurate forecasts for the correlation
of spot and forward interest rates. Correlation forecasts generated from factor models, …

This paper explores the ability of factor models to predict the dynamics of US and UK interest
rate swap spreads within a linear and a non‐linear framework. We reject linearity for the US …

This article provides a detailed analysis of the distributional properties of spot and forward
interest rates without imposing any ad hoc assumptions on the behavior of interest rates. …

Long-dated gilt yields are currently well below the comparable German and US government
bond yields for the first time in many years. This article considers what factors are likely to …