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Hedging performance of the Libor market model : the cap market case

Attaoui, Sami - In: Applied financial economics 21 (2011) 16/18, pp. 1215-1223

Persistent link: https://www.econbiz.de/10009348308

Global financial crisis and US interest rate swap spreads

Ito, Takayasu - In: Applied financial economics 20 (2010) 1/3, pp. 37-43

This article investigates the determinants of US interest rate swap spreads in the period including the financial crisis. The asymmetric impacts of the financial crisis on interest rate swap spreads are focused by dividing the whole sample period into two. Four determinants of swap spreads -...

Persistent link: https://www.econbiz.de/10003935962

Volatility transmission of swap spreads among the US, Japan and the UK : a cross-correlation function approach

Toyoshima, Yuki; Hamori, Shigeyuki - In: Applied financial economics 22 (2012) 10/12, pp. 849-862

Persistent link: https://www.econbiz.de/10009625006

Does federal funds futures rate contain information about the treasury bill rate?

Kishor, N. Kundan; Marfatia, H. A. - In: Applied financial economics 23 (2013) 16/18, pp. 1311-1324

Persistent link: https://www.econbiz.de/10010259457

Determinants of interest rate swap spreads in the US : bounds testing approach to cointegration

Toyoshima, Yuki - In: Applied financial economics 22 (2012) 4/6, pp. 331-338

Persistent link: https://www.econbiz.de/10009581360

Pricing efficiency of the 3-month KLIBOR futures contracts : an empirical analysis

Razak, Marina Abdul; Obiyathulla Ismath Bacha - In: Applied financial economics 19 (2009) 4/6, pp. 445-462

This study is an empirical investigation of the pricing efficiency of Malaysia's interest rate futures contract, the 3-month Kuala Lumpur Interbank Offered Rates (KLIBOR) futures contract. This article also examines several issues related to pricing efficiency. The study spans the contract's...

Persistent link: https://www.econbiz.de/10003828817