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What Determines U.S. Swap Spreads?

Parametre

  • 56 stránok
  • 2 hodiny čítania

Viac o knihe

This book explores the development of the US interest swap market, focusing on contracts linked to Libor rates. It reviews theoretical frameworks and empirical studies on US swap spreads, presenting an error correction model for 2-, 5-, and 10-year maturities from 1994 to 2004.

Nákup knihy

What Determines U.S. Swap Spreads?, Ivan Zelenko, Adam Kobor, Lishan Shi

Jazyk
Rok vydania
2005
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