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20102022
most citedDynamic Term Structure Models for SOFR Futures

4 citations · 4 across the 4 of their papers we have counts for

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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…