TABLE 2
FROM:
Global term structure modelling using principal component analysis
Arcady Novosyolov and Daniel Satchkov
BACK TO ARTICLETable 2. Autocorrelation (1) of percentage changes in daily US LIBOR
| 3 months | 6 months | 1 year | 2 years | 5 years |
|---|---|---|---|---|
| - 0.21 | - 0.13 | - 0.11 | - 0.01 | 0.01 |
