Neely, Christopher J. (contributor); … - 2003 - [Elektronische Ressource]
patterns across stocks, bonds, money markets, and
derivatives.
1
The empirical evidence finds that the patterns vary … [2005a] examine various one-month money market securities—including
one-month LIBOR—at the year-end and find a common … effect across money market securities.
Specifically, one-month rates increase dramatically at the beginning of December …