Interbank rate fixings during the recent turmoil
The turmoil in global interbank markets in the second half of 2007 raises questions about the robustness of interbank rate fixings. A comparison of alternative fixings for similar interest rates confirms that they diverged to an unusual extent. Nevertheless, the design of fixing mechanisms worked as intended to moderate the influence of strategic behaviour and changing perceptions of credit quality.
Volume (Year): (2008)
Issue (Month): (March)
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"Modeling and Forecasting Realized Volatility,"
Center for Financial Institutions Working Papers
01-01, Wharton School Center for Financial Institutions, University of Pennsylvania.
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Swiss Finance Institute Research Paper Series
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