Title:

Tracking the Libor Rate

Authors:

Rosa Abrantes-Metz (New York U)
Sofia Villas-Boas (U CA, Berkeley)
George Judge (U CA, Berkeley)

Journal:

Applied Economics Letters

Year:

2011

Volume:

18

Pages:

893-899

JEL codes:

C12 - Hypothesis Testing
G13 - Contingent Pricing; Futures Pricing
G21 - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
C58 - Financial Econometrics