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Burying Libor
Klingler, Sven; Syrstad, Olav - 2019
We argue that the planned transition toward alternative benchmark rates gives reason to mourn Libor. Guided by a model …
Persistent link: https://www.econbiz.de/10012214298
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Transmission of Japanese government bond and swap markets under negative interest rate policy
Ito, Takayasu - In: International journal of economic policy in emerging … 13 (2020) 4, pp. 305-311
Persistent link: https://www.econbiz.de/10012507971
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On the American swaption in the linear-rational framework
Filipović, Damir; Kitapbayev, Yerkin - 2016
and the optimal exercise strategies in terms of swap rates for both fixed-rate payer and receiver swaps. Finally, we show …
Persistent link: https://www.econbiz.de/10011516038
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A measure of Turkey's sovereign and banking sector credit risk : asset swap spreads
Kazdal, Abdullah; Korkmaz, Halil İbrahim; … - 2020
Persistent link: https://www.econbiz.de/10012939794
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Statistical evidence about LIBOR manipulation : a "Sherlock Holmes" investigation
Fouquau, Julien; Spieser, Philippe K. - In: Journal of banking & finance 50 (2015), pp. 632-643
Persistent link: https://www.econbiz.de/10010510174
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Stationarity and persistence of the term premia in the Polish money market
Markun, Michał; Mospan, Anna - 2015
Persistent link: https://www.econbiz.de/10011428633
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A comparison of the information in the LIBOR and CMT term structures of interest rates
Brooks, Robert; Cline, Brandon N.; Enders, Walter - In: Journal of banking & finance 54 (2015), pp. 239-253
Persistent link: https://www.econbiz.de/10011377823
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Fixing the fixings : what road to a more representative money market benchmark?
Brousseau, Vincent; Chailloux, A.; Durré, Alain - 2013
Persistent link: https://www.econbiz.de/10009756774
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LIBOR versus OIS : the derivatives discounting dilemma
Hull, John; White, Alan - In: Journal of investment management : JOIM 11 (2013) 3, pp. 14-27
Persistent link: https://www.econbiz.de/10010196008
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Fixed interest player v/s floating interest player : tug of war
Ahamed, Naseem - In: Theoretical economics letters 5 (2015) 4, pp. 469-475
Persistent link: https://www.econbiz.de/10011439295