A no-arbitrage affine term-structure model with macroeconomic and market factors and its empirical applications to the UK bond markets
This study describes the joint dynamics of the U.K. risk-free government bonds and risky corporate bond yields using a large set of macroeconomic and market variables. In this context, the thesis develops for the new understanding of the determination of the yield curve and contributes to the litera...
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Keele University
2016
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.726985 |