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Egorov, A., Li, H.T. and Ng, D. (2011) A Tale of Two Yield Curves: Modeling the Joint Term Structure of Dollar and Euro Interest Rates. Journal of Econometrics, 162, 55-70.
http://dx.doi.org/10.1016/j.jeconom.2009.10.010

has been cited by the following article:

• TITLE: Common Factors in International Bond Returns and a Joint ATSM to Match Them

  AUTHORS: Christian Gabriel

  KEYWORDS: Affine Term Structure Models, Common Factors, Government Bonds, International Term Structure Models, Principal Component Analysis

  JOURNAL NAME: Theoretical Economics Letters, Vol.4 No.7, August 5, 2014

  ABSTRACT: The existence of common factors in international bond markets is an important cause for modelling different term structures of interest rates jointly. This paper investigates the common factors of US and UK treasury yields in the period of 1983 to 2012. A principal component analysis motivates the type of joint ATSM for modelling the yield curves of two distinct economies. In sum, two common factors explain 85% of the yield variation and the model factors have a solid economic intuition.