A mechanism for LIBOR

DOI10.1093/ROF/RFX045MaRDI QIDQ5237858zbMATH OpenOpenAlexFDO

Authors

Publication date 25 October 2019

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/rof/rfx045

zbMATH Keywords

benchmarkLIBOR

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• LIBOR troubles: anomalous movements detection based on maximum entropy
• A re-examination of Libor rigging: a time-varying cointegration perspective
• Price discovery in US money market benchmarks: LIBOR vs. SOFR
• A permutation information theory tour through different interest rate maturities: the Libor case
• Libor at crossroads: stochastic switching detection using information theory quantifiers

Cited in

(6)

• LIBOR troubles: anomalous movements detection based on maximum entropy
• Price discovery in US money market benchmarks: LIBOR vs. SOFR
• A permutation information theory tour through different interest rate maturities: the Libor case
• A re-examination of Libor rigging: a time-varying cointegration perspective
• Interest rate swaps: a comparison of compounded daily versus discrete reference rates
• Motives and consequences of Libor strategic reporting: how much can we learn from banks' self-reported borrowing rates?

This page was built for publication: A mechanism for LIBOR

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5237858)