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What moves benchmark money market rates? : evidence from the BBSW market
Casavecchia, Lorenzo; Loudon, Geoffrey F.; Wu, Eliza - In: Pacific-Basin finance journal 51 (2018), pp. 137-154
Persistent link: https://www.econbiz.de/10012035138
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Three empirical essays on the informational content of financial prices
Bernoth, Kerstin - 2004
Persistent link: https://www.econbiz.de/10002524759
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Modeling the FIBOR/EURIBOR swap term structure : an empirical approach
Blaskowitz, Oliver (contributor);  … - 2005
In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive … and curvature of the swap term structure, we rely on measures of both statistical and economic performance. Whereas the … homogeneity of the term structure. -- Principal components ; Factor Analysis ; Ex-ante forecasting ; EURIBOR swap rates ; Term …
Persistent link: https://www.econbiz.de/10003049489
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Modeling the FIBOR/EURIBOR swap term structure : an empirical approach
Blaskowitz, Oliver (contributor);  … - 2005
In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive … and curvature of the swap term structure, we rely on measures of both statistical and economic performance. Whereas the …
Persistent link: https://www.econbiz.de/10002724448
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Forward-Rates als Prediktor für die Entwicklung der Geldmarktzinsen
Holthusen, Jan - In: Geld- und Wirtschaftspolitik in gesellschaftlicher …, (pp. 255-267). 2004
Persistent link: https://www.econbiz.de/10002412082
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Interbank interest rates as term structure indicators
Malz, Allan Martin - 1998
Persistent link: https://www.econbiz.de/10001487288
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The Manipulation Potential of Libor and Euribor
Eisl, Alexander - 2014
The London Interbank Offered Rate (Libor) and the Euro Interbank Offered Rate (Euribor) are two key market benchmark interest rates used in a plethora of financial contracts with notional amounts running into the hundreds of trillions of dollars. The integrity of the rate-setting process for...
Persistent link: https://www.econbiz.de/10013064732
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What Drives Interbank Rates? Evidence from the Libor Panel
Michaud, Francois-Louis - 2013
The risk premium contained in the interest rates on three-month interbank deposits at large, internationally active banks increased sharply in August 2007 and risk premiahave remained at an elevated level since. This feature aims to identify the drivers of this increase, in particular the role...
Persistent link: https://www.econbiz.de/10013095302
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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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Linear-rational term structure models
Filipović, Damir; Larsson, Martin; Trolle, Anders B. - 2014
We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: i) ensures nonnegative interest rates, ii) easily...
Persistent link: https://www.econbiz.de/10010338764