The implied jump risk of LIBOR rates

Journal of Banking and Finance

Volumn 29, Issue 10, 2005, Pages 2503-2522

  Guan, Lim Kian ^a   Ting, Christopher ^a   Warachka, Mitch ^a  

^a SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

Author keywords

Federal reserve; Jump diffusion; LIBOR; Macroeconomic announcements

Indexed keywords

EID: 23844434919     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2004.09.004     Document Type: Article

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