A re-examination of Libor rigging: a time-varying cointegration perspective
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DOI: 10.1080/14697688.2016.1267390
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- Kei Imakubo & Takeshi Kimura & Teppei Nagano, 2008. "Cross-currency transmission of money market tensions," Bank of Japan Review Series 08-E-2, Bank of Japan.
- Rajdeep Sengupta & Yu Man Tam, 2008. "The LIBOR-OIS spread as a summary indicator," Monetary Trends, Federal Reserve Bank of St. Louis, issue Nov.
- Duffie, Darrell & Stein, Jeremy C., 2014. "Reforming LIBOR and Other Financial-Market Benchmarks," Research Papers 3170, Stanford University, Graduate School of Business.
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- Li, Ming & Sun, Hang & Zong, Jichuan, 2021. "Intertemporal imitation behavior of interbank offered rate submissions," Journal of Banking & Finance, Elsevier, vol. 132(C).
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