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International interest rates and US monetary policy announcements : evidence from Hong Kong and Singapore

Valente, Giorgio - In: Journal of international money and finance 28 (2009) 6, pp. 920-940

Persistent link: https://www.econbiz.de/10003888022

The market price of risk in interest rate swaps : the roles of default and liquidity risks

Liu, Jun; Longstaff, Francis A.; Mandell, Ravit E. - In: The journal of business : B 79 (2006) 5, pp. 2337-2359

Persistent link: https://www.econbiz.de/10003406286

Interest rate caps "smile" too! : but can the LIBOR market models capture the smile?

Jarrow, Robert A.; Li, Haitao; Zhao, Feng - In: The journal of finance : the journal of the American … 62 (2007) 1, pp. 345-382

Persistent link: https://www.econbiz.de/10003425910

Estimating interest rate curves by support vector regression

Monteiro, André d'Almeida - In: Econometric reviews 29 (2010) 5/6, pp. 717-753

Persistent link: https://www.econbiz.de/10008668099

Impact of credit spreads, monetary policy and convergence trading on swap spreads

Chung, Hon-lun; Chan, Wai-Sum - In: International review of financial analysis 19 (2010) 2, pp. 118-126

Persistent link: https://www.econbiz.de/10008669492

Global financial crisis and US interest rate swap spreads

Ito, Takayasu - In: Applied financial economics 20 (2010) 1/3, pp. 37-43

This article investigates the determinants of US interest rate swap spreads in the period including the financial crisis. The asymmetric impacts of the financial crisis on interest rate swap spreads are focused by dividing the whole sample period into two. Four determinants of swap spreads -...

Persistent link: https://www.econbiz.de/10003935962