Is convexity efficiently priced? Evidence from international swap markets
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DOI: 10.1016/j.jempfin.2021.07.011
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Cited by:
- Realdon, Marco, 2024. "The efficiency of the Estr overnight index swap market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
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More about this item
Keywords
Convexity; Term structure modelling; Swap market; Principal components;All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
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