Testing the empirical performance of the secured overnight financing rate
Pugliese, Virginia (A.A. 2019/2020) Testing the empirical performance of the secured overnight financing rate. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 72. [Master's Degree Thesis]
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Abstract/Index
Libor transition. The issues with Libor. Interest rates models. Short-term interest rates models. Level effects and volatility clustering. Empirical analysis.
References
Bibliografia: pp. 59-62.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Empirical finance |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Grassi, Stefano |
| Academic Year: | 2019/2020 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 22 Jan 2021 11:25 |
| Last Modified: | 22 Jan 2021 11:25 |
| URI: | https://tesi.luiss.it/id/eprint/28167 |
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