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Modeling the FIBOR/EURIBOR swap term structure : an empirical approach

Blaskowitz, Oliver (contributor); … - 2005

In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive … and curvature of the swap term structure, we rely on measures of both statistical and economic performance. Whereas the … homogeneity of the term structure. -- Principal components ; Factor Analysis ; Ex-ante forecasting ; EURIBOR swap rates ; Term …

Persistent link: https://www.econbiz.de/10003049489

Modeling the FIBOR/EURIBOR swap term structure : an empirical approach

Blaskowitz, Oliver (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002724448

Forward-Rates als Prediktor für die Entwicklung der Geldmarktzinsen

Holthusen, Jan - In: Geld- und Wirtschaftspolitik in gesellschaftlicher …, (pp. 255-267). 2004

Persistent link: https://www.econbiz.de/10002412082

The components of interest rate swap spreads : theory and international evidence

Fehle, Frank - In: The journal of futures markets 23 (2002) 4, pp. 347-387

Persistent link: https://www.econbiz.de/10001765135

Interbank interest rates as term structure indicators

Malz, Allan Martin - 1998

Persistent link: https://www.econbiz.de/10001487288

Extended Libor market models with affine and quadratic volatility

Zühlsdorff, Christian - 2002

Persistent link: https://www.econbiz.de/10001667067

Extended libor market models : derivatives pricing, implementation, and calibration

Zühlsdorff, Christian - 2002

Persistent link: https://www.econbiz.de/10001678903

Fed funds futures variance futures

Filipović, Damir; Trolle, Anders B. - 2015

We develop a novel contract design, the fed funds futures (FFF) variance futures, which reflects the expected realized basis point variance of an underlying FFF rate. The valuation of short-term FFF variance futures is completely model-independent in a general setting that includes the cases...

Persistent link: https://www.econbiz.de/10011293604

The Libor Exposure of Money Market Funds

Comment, Robert - 2012

Although most money market mutual funds hold floating rate instruments to some extent, funds rarely identify the market rate that any individual holding floats on. This makes it difficult to determine (directly) a fund's exposure to Libor manipulation. Effective Libor exposure possibly is...

Persistent link: https://www.econbiz.de/10013100391

The Effect of Underreporting on LIBOR Rates

Monticini, Andrea - 2013

On May 29, 2008, the Wall Street Journal reported that several large international banks were reporting unjustifiably low LIBOR rates. Since then two large banks, Barclays and UBS, have paid significant fines for manipulating their LIBOR rates, and additional banks are expected to be fined. This...

Persistent link: https://www.econbiz.de/10013086120