Price discovery between forward-looking SOFR and LIBOR

Author:

Indriawan Ivan,Jiao Feng,Tse Yiuman

Publisher

Elsevier BV

Subject

Finance

Reference21 articles.

1. Price discovery and common factor models;Baillie;J. Financ. Mark.,2002

2. Bowman, D., Scotti, C., Vojtech, C.M., 2020. How correlated is LIBOR with bank funding costs? FEDS Notes, June 29. Retrieved from: https://ideas.repec.org/p/fip/fedgfn/2020-06-29.html.

3. Bitcoin futures: what use are they?;Corbet;Econ. Lett.,2018

4. Eren, E., Schrimpf, A., Sushko, V. 2020. US dollar funding markets during the COVID-19 crisis-the money market fund turmoil (No. 14). Bank for International Settlements. Retrieved from: https://ideas.repec.org/p/bis/bisblt/14.html.

5. Price discovery in US money market benchmarks: LIBOR vs SOFR;Fassas;Econ. Lett.,2021

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