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Modeling volatility and changes in the swap spread

In, Francis; Brown, Rob; Fang, Victor - In: International Review of Financial Analysis 12 (2003) 5, pp. 545-561

Persistent link: https://www.econbiz.de/10005229033

Can the choice of interpolation method explain the difference between swap prices and futures prices?

Brown, Rob; Fang, Victor - In: Accounting and Finance 45 (2005) 2, pp. 199-216

The standard model linking the swap rate to the rates in a contemporaneous strip of futures interest rate contracts typically produces biased estimates of the swap rate. Institutional differences usually require some form of interpolation to be employed and may in principle explain this...

Persistent link: https://www.econbiz.de/10005157797

Australian and US interest rate swap markets: comparison and linkages

In, Francis; Fang, Victor; Brown, Rob - In: Accounting and Finance 44 (2004) 1, pp. 45-56

We investigate and compare the determinants of US and Australian interest rate swap spreads and the linkages between these markets. The slope of the risk-free term structure is the most significant determinant and its importance is greater for longer terms to maturity. Interest rate levels and,...

Persistent link: https://www.econbiz.de/10005157798

How accurately can convertibles be classified as debt or equity for tax purposes? : evidence from Australia

Fenech, Jean-Pierre; Fang, Victor; Brown, Rob - In: Review of law and economics : publ. in cooperation with … 12 (2016) 1, pp. 153-164

Persistent link: https://www.econbiz.de/10011507180

Links among interest rate swap markets : US, UK, and Japan

In, Francis Haeuck; Brown, Rob; Fang, Victor - In: The journal of fixed income 13 (2003) 3, pp. 84-95

Persistent link: https://www.econbiz.de/10001968467

Modeling volatility and changes in the swap spread

In, Francis Haeuck; Brown, Rob; Fang, Victor - In: International review of financial analysis 12 (2003) 5, pp. 545-561

Persistent link: https://www.econbiz.de/10001797475

Modeling the determinants of swap spreads

Brown, Rob; In, Francis Haeuck; Fang, Victor - In: The journal of fixed income 12 (2002) 1, pp. 29-40

Persistent link: https://www.econbiz.de/10001725696

Australian and US interest rate swap markets: comparison and linkages

In, Francis; Fang, Victor; Brown, Rob - In: Accounting and finance : journal of the Accounting … 44 (2004) 1, pp. 45-56

Persistent link: https://www.econbiz.de/10006248896

LINKS AMONG INTEREST RATE SWAP MARKETS: U.S., U.K., AND JAPAN

In, Francis; Brown, Rob; Fang, Victor - In: The journal of fixed income 13 (2003) 3, pp. 84

Persistent link: https://www.econbiz.de/10007156046

Modeling volatility and changes in the swap spread

In, Francis; Brown, Rob; Fang, Victor - In: International review of financial analysis 12 (2003) 5, pp. 545-562

Persistent link: https://www.econbiz.de/10007158302