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The market price of credit risk : an empirical analysis of interest rate swap spreads
Liu, Jun; Longstaff, Francis A.; Mandell, Ravit E. - 2002
Persistent link: https://www.econbiz.de/10001675869
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US Dollar swaps after LIBOR
Heidorn, Thomas; Meier, Rebecca - 2024
The main focus of this paper is a comprehensive overview of the US$ reference rate reform, with a particular focus on its implications for USD interest rate swaps (IRS). This paper aims to shed light on the current situation and future developments in a changing financial landscape. This paper...
Persistent link: https://www.econbiz.de/10014468854
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A mean variance king? : creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus - 2001
This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the intraday price process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the...
Persistent link: https://www.econbiz.de/10013428452
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Surprises in U.S. macroeconomic releases : determinants of their relative impact on T-bond futures
Hess, Dieter - 2001
Persistent link: https://www.econbiz.de/10001635443
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A mean variance king? : creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus; Hess, Dieter - 2001
This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the intraday price process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the...
Persistent link: https://www.econbiz.de/10011446937
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Surprises in U.S. macroeconomic releases : determinants of their relative impact on T-bond futures
Hess, Dieter - 2001
This paper investigates the intraday response of CBOT T-bond futures prices to surprises in headline figures contained in scheduled U.S. macroeconomic news releases. While several previous studies try to find out which releases have a significant impact on prices and volatility in financial...
Persistent link: https://www.econbiz.de/10011544325
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Inter-variety equilibrium of Chinese treasury futures
Wang, Jinzhong; Zhong, Hong; Yu, Zhenjie - In: Credit and capital markets : Kredit und Kapital 55 (2022) 2, pp. 261-290
, and the transaction cost and market friction are considered in building the arbitrage-free spread interval. By comparing … Treasury futures. We find that there are many arbitrage opportunities among the three varieties, and the market is not fully … Treasury futures market will lead to higher market efficiency, shorter duration of arbitrage opportunities, and a faster return …
Persistent link: https://www.econbiz.de/10014518583
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A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure
Blaskowitz, Oliver (contributor);  … - 2008
The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of...
Persistent link: https://www.econbiz.de/10003770821
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Using Eurodollar Pack Spreads to Trade Treasury Curves
De Vere, Hugo - 2021
This paper aims to find if the market-based measure of monetary policy expectations such as the Eurodollar future rates has predictive power in anticipating trend changes in Treasury curves. The report examines the empirical relationship between Eurodollar pack spreads and Treasury curves and...
Persistent link: https://www.econbiz.de/10013219543