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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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Time varying term premia and risk : the case of the Spanish interbank money market
Robles Fernández, M. Dolores; Flores de Frutos, Rafael - In: Applied financial economics 10 (2000) 3, pp. 243-260
Persistent link: https://www.econbiz.de/10001526279
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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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Federal funds futures, risk premium and monetary policy actions
Nourzad, Farrokh; Calhoun, James; Kurkiewicz, Adam - In: Applied financial economics 22 (2012) 16/18, pp. 1317-1330
Persistent link: https://www.econbiz.de/10009625373
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Econometrics of Yield spreads in the money market : a note
Bhaumik, Sankar Kumar; Coondoo, Dipankor - In: Applied financial economics 13 (2003) 9, pp. 645-653
Persistent link: https://www.econbiz.de/10001776849
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Testing the expectations theory in a market of short-term financial assets
Prats Albentosa, María Asuncíon - In: Applied financial economics 8 (1998) 2, pp. 101-109
Persistent link: https://www.econbiz.de/10001244134
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A VARMA approach to estimating term premia : the case of the Spanish interbank money market
Flores de Frutos, Rafael - In: Applied financial economics 5 (1995) 6, pp. 409-418
Persistent link: https://www.econbiz.de/10001193004
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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
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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 - default risk, the slope of yield curve, T-bill and EuroDollar (TED …
Persistent link: https://www.econbiz.de/10003935962
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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