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Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities
Hui, Cho-Hoi - 2013
the aggregate liquidity shock on 29 September 2008 when the interbank market was totally paralysed …
Persistent link: https://www.econbiz.de/10013095123
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Fiscal policy events and interest rate swap spreads : evidence from the EU
Afonso, António; Strauch, Rolf - In: Journal of international financial markets, … 17 (2007) 3, pp. 261-276
Persistent link: https://www.econbiz.de/10003499644
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Fiscal policy events and interest rate swap spreads : evidence from the EU
Afonso, António - 2004
Persistent link: https://www.econbiz.de/10013434650
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Yield curve reactions to fiscal sentiment in Brazil
Montes, Gabriel Caldas; Fonseca, Vítor Manuel Araújo da - In: Journal of financial economic policy 14 (2022) 5, pp. 651-673
Persistent link: https://www.econbiz.de/10013361516
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Is there lif(f)e after DTB? : competitive aspects of cross listed futures contracts on synchronous markets
Kofman, Paul; Bouwman, Tony; Moser, James T. - 1993
Persistent link: https://www.econbiz.de/10000892090
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Zinsfutures und Zinsoptionen : erfolgreicher Einsatz an DTB und LIFFE
Diwald, Hans - 1994
Persistent link: https://www.econbiz.de/10000892217
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Eurodollar interest rate futures and options
1985
Persistent link: https://www.econbiz.de/10000776138
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In search of the convexity adjustment : evidence from the sterling futures and IMM FRA markets
Poskitt, Russell - In: The journal of futures markets 28 (2008) 7, pp. 617-633
Persistent link: https://www.econbiz.de/10003715112
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Determinants of treasury-LIBOR swap spreads
Malhotra, Davinder Kumar; Bhargava, Vivek; Chaudhry, Mukesh - In: Review of Pacific Basin financial markets and policies 8 (2005) 4, pp. 687-705
Persistent link: https://www.econbiz.de/10003280297
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On the predictability of common risk factors in the US and UK interest rate swap markets : evidence from non-linear and linear models
Lekkos, Ilias (contributor); Milas, Costas (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003332063