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Hedging performance of the Libor market model : the cap market case

Attaoui, Sami - In: Applied financial economics 21 (2011) 16/18, pp. 1215-1223

Persistent link: https://www.econbiz.de/10009348308

Does federal funds futures rate contain information about the treasury bill rate?

Kishor, N. Kundan; Marfatia, H. A. - In: Applied financial economics 23 (2013) 16/18, pp. 1311-1324

Persistent link: https://www.econbiz.de/10010259457

Can forward rates be used to improve interest rate forecasts?

Domínguez, Emilio; Novales, Alfonso - In: Applied financial economics 12 (2002) 7, pp. 493-504

Persistent link: https://www.econbiz.de/10001676728

The relationship between short-term and forward interest rates : a structural time-series analysis

Iyer, Sridhar - In: Applied financial economics 10 (2000) 2, pp. 143-153

Persistent link: https://www.econbiz.de/10001525829

Volatility transmission across the term structure of swap markets : international evidence

Abad, Pilar; Novales, Alfonso - In: Applied financial economics 14 (2004) 14, pp. 1045-1058

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Global financial crisis and US interest rate swap spreads

Ito, Takayasu - In: Applied financial economics 20 (2010) 1/3, pp. 37-43

This article investigates the determinants of US interest rate swap spreads in the period including the financial crisis. The asymmetric impacts of the financial crisis on interest rate swap spreads are focused by dividing the whole sample period into two. Four determinants of swap spreads -...

Persistent link: https://www.econbiz.de/10003935962