Bhargava, Vivek; Malhotra, D.K. - In: International Journal of Financial Services Management 5 (2012) 3, pp. 216-238
This paper examines time series properties of the swap spreads in three segments of the US dollar interest rate swaps market. Specifically, the relationship between the swap spreads in US dollar fixed-for-floating Interest Rate Swaps (IRS), Treasury bill versus LIBOR basis swaps and commercial...
