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Zero-coupon interest rates : evaluating three alternative datasets
Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - 2018
The zero-coupon yield curve is a common input for most financial purposes. The authors consider three popular yield curve datasets, and explore the extent to which the decision as to what dataset to use for an application may have implications on the results. The paper illustrates why such...
Persistent link: https://www.econbiz.de/10011901875
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Predictable Changes in Yields and Forward Rates
Backus, David - 1998
simple form with forward rates: as theory suggests, the largest discrepancies are at short maturities. (ii) Reasonable …
Persistent link: https://www.econbiz.de/10012472439
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Predictable Changes in Yields and Forward Rates
Backus, David K. - 2010
simple form with forward rates: as theory suggests, the largest discrepancies are at short maturities. (ii) Reasonable …
Persistent link: https://www.econbiz.de/10012763624
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The LIBOR reader
Booth, P. (contributor) - 2012
Persistent link: https://www.econbiz.de/10009583081
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A Mechanism for LIBOR
Coulter, Brian - 2017
The investigations into LIBOR have highlighted that it is subject to manipulation. We examinea new method for … constructing LIBOR that produces an unbiased estimator of the true rate.LIBOR itself is based solely on transactions. We allow for …
Persistent link: https://www.econbiz.de/10012974453
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The Fellowship of LIBOR : A Study of Interbank Correlations by the Method of Wigner-Ville Function
Lerner, Peter - 2019
manipulation of the LIBOR quotes by the member banks …
Persistent link: https://www.econbiz.de/10012903465
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Interbank interest rates and the risk premium
Pagès, Henri - 1999
Persistent link: https://www.econbiz.de/10013431852
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The LIBOR Reader
Booth, Philip; Jeffers, Michael - 2021
Short articles on the LIBOR scandal looking for a deeper understanding of the crisisAt the end of June 2012, news of a … called LIBOR. Other banks are still under investigation.LIBOR is an important market interest rate indicator because it … contracts are therefore priced using LIBOR. For example, it would be reasonable for a bank to offer a mortgage product with a …
Persistent link: https://www.econbiz.de/10013213236
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The Reform of Money Market Benchmarks Worldwide : Construction of a Forward Rate Model for the Moroccan Interbank Market
Louraoui, Youssef - 2022
This research aims to study the viability of a reformed interbank rate for the Moroccan money market within the framework of the global transition of reference indices. Through the analysis of 351 days of quotation, we were able to obtain a rather encouraging result with the selected methodology...
Persistent link: https://www.econbiz.de/10013295624
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The Reform of Money Market Benchmarks Worldwide : Construction of a Forward Rate Model for the Moroccan Interbank Market
Louraoui, Youssef - 2021
The purpose of this research is to determine the practicality of a prospective reform of the Moroccan money market's interbank rate within the context of the worldwide shift of reference indices. By analyzing 351 days of quotations, we were able to acquire an optimistic result using the chosen...
Persistent link: https://www.econbiz.de/10013221493