4 citations · 4 across the 2 of their papers we have counts for
2 papers
q-fin.GN2022
Decomposing LIBOR in Transition: Evidence from the Futures Markets
David Skovmand, Jacob Bjerre Skov
Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo r…
q-fin.MF2021★ 4 cited
Dynamic Term Structure Models for SOFR Futures
Jacob Bjerre Skov, David Skovmand
The LIBOR rate is currently scheduled for discontinuation, and the replacement advocated by regulators in the US is the Secured Overnight Financing Rate (SOFR). The change has the…