Decomposing LIBOR in transition : evidence from the futures markets
Year of publication: |
2023
|
---|---|
Authors: | Skov, Jacob Bjerre ; Skovmand, David |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 6, p. 959-978
|
Subject: | Federal funds rate | Futures | LIBOR | Roll-over risk | SOFR | Zinsderivat | Interest rate derivative | Geldmarkt | Money market | Derivat | Derivative | Zinsstruktur | Yield curve |
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