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cond-mat2001
An empirical analysis of medium-term interest rates
Tiziana Di Matteo, Enrico Scalas, Marco Airoldi
In the present paper, an empirical study of LIBOR (London Interbank Offered Rate) data is presented. In particular, a data set of interest rates from 1997 to 1999, for two differen…
cond-mat2001
How does the Eurodollar Interest Rate behave?
Tiziana Di Matteo, Tomaso Aste
An empirical analysis on Eurodollar interest rates daily data in the time period 1990-1996, is performed and compared with Libor data in the time period 1984-1998. The complementar…