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What drives the Libor-OIS spread? : evidence from five major currency Libor-OIS spreads

Cuia, Jin; In, Francis Haeuck; Maharaj, Elizabeth Ann - In: International review of economics & finance : IREF 45 (2016), pp. 358-375

Persistent link: https://www.econbiz.de/10011626466

What drives the term and risk structure of Japanese bonds?

In, Francis Haeuck; Batten, Jonathan A.; Kim, Sangbae - In: The quarterly review of economics and finance : journal … 43 (2003) 3, pp. 518-541

Persistent link: https://www.econbiz.de/10001782546

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

Dynamic interaction and valuation of quality yen Eurobonds in a multivariate EGARCH framework

Batten, Jonathan A.; In, Francis Haeuck - In: Applied financial economics 16 (2006) 12, pp. 881-892

Persistent link: https://www.econbiz.de/10003377842

Expectations and equilibrium in high-grade Australian bond markets

In, Francis Haeuck; Batten, Jonathan A. - In: Review of Pacific Basin financial markets and policies 8 (2005) 4, pp. 573-592

Persistent link: https://www.econbiz.de/10003280268

Time-varying financial stress linkages : evidence from the LIBOR-OIS spreads

Ji, Philip Inyeob - In: Journal of international financial markets, … 22 (2012) 4, pp. 647-657

Persistent link: https://www.econbiz.de/10009582580

The Impact of Subprime Mortgage Crisis on Cross-Currency Linkage of LIBOR-OIS Spreads

Ji, Philip - 2011

This paper examines the cross-currency linkage of LIBOR-OIS spreads. We consider daily spread data in five major currencies for the period of March 1, 2006 to Nov 11, 2008. The impulse response analysis is conducted in a multivariate setting, adopting the bias-corrected bootstrap as a means of...

Persistent link: https://www.econbiz.de/10013134666

What Drives the Libor-OIS Spread? Evidence from Five Major Currency Libor-OIS Spreads

Cui, Jin - 2012

As a banking system health indicator and risk premium, the Libor-OIS spread has attracted great interest during recent years. Despite the recent Libor fixing scandal, our study based on five major currencies can still shed insights on the true determinants of the Libor-OIS spreads under...

Persistent link: https://www.econbiz.de/10013098110