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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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LIBOR : origins, economics, crisis, scandal, and reform
Hou, David; Skeie, David - 2014
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....
Persistent link: https://www.econbiz.de/10010393220
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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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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
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Linear-rational term structure models
Filipović, Damir; Larsson, Martin; Trolle, Anders B. - In: The journal of finance : the journal of the American … 72 (2017) 2, pp. 655-704
Persistent link: https://www.econbiz.de/10011738502
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Die Erwartungstheorie der Zinsstruktur, Geldpolitik und zeitvariable Risikoprämien : eine empirische Analyse des Euro-DM-Geldmarktes
Wasmund, Jörn - 1999
Die umfangreiche empirische Literatur zur Gültigkeit der Erwartungstheorie der Zinsstruktur in den USA hat einen "U … werden in Kapitel 2 unterschiedliche Theorien der Zinsstruktur dargestellt und die ökonometrisch-methodischen Testansätze der … diskutiert und mittels eines multivariaten ARCH-Ansatzes zeitvariable Risikoprämien in der deutschen Zinsstruktur nachgewiesen …
Persistent link: https://www.econbiz.de/10011401950
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Implicit Entropic Market Risk-Premium from Interest Rate Derivatives
Arismendi-Zambrano, Juan - 2020
Implicit in interest rate derivatives are Arrow-Debreu prices (or state price densities, SPDs) that contain fundamental information for risk and portfolio management in interest rate markets. To extract such information from interest rate derivatives, we propose a non-parametric method to...
Persistent link: https://www.econbiz.de/10012828071
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Sharpe-optimal volatility futures carry
Uhl, Björn - In: The journal of asset management : a major new, … 25 (2024) 3, pp. 288-302
Persistent link: https://www.econbiz.de/10014583405
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Does the swap-covered interest parity still hold in long-term capital markets after the financial crisis? : evidence from cross-currency basis swaps
Hattori, Takahiro - In: International review of economics & finance : IREF 79 (2022), pp. 224-240
Persistent link: https://www.econbiz.de/10013343385