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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
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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
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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
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Volatility transmission across the term structure of swap markets : international evidence
Abad, Pilar; Novales, Alfonso - In: Applied financial economics 14 (2004) 14, pp. 1045-1058
Persistent link: https://www.econbiz.de/10002377770
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The relationship between short-term and forward interest rates : a structural time-series analysis
Iyer, Sridhar - In: Applied financial economics 10 (2000) 2, pp. 143-153
Persistent link: https://www.econbiz.de/10001525829
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Can forward rates be used to improve interest rate forecasts?
Domínguez, Emilio; Novales, Alfonso - In: Applied financial economics 12 (2002) 7, pp. 493-504
Persistent link: https://www.econbiz.de/10001676728
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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
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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
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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
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The information content of interest rate futures and time-varying risk premia
Staikouras, Sotiris K. - In: Applied financial economics 14 (2004) 11, pp. 761-771
Persistent link: https://www.econbiz.de/10002121581