We present a quantitative study of the evolution of markets and models during the recent crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidence regarding the divergence between Libor and OIS rates, the explosion of basis swaps spreads, and...

This paper analyses the short rates of emerging markets in Central and Eastern Europe. We first summarize the institutional framework of money and bond markets. In the empirical section we estimate both univariate and multivariate models. We collect the statistical behavior and discuss the...