LIBOR-o-logy

A series of analysis reports investigating degree of predictability in the LIBOR rates, a popular capital cost indicator, via correlation techniques. The analysis is based on historical LIBOR interest rate data released by the British Bankers Association.

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1 JPY LIBOR 2007-2010: shorter maturities mean-revert, longer ones form trends Forex Automaton
2 USD LIBOR predictability 2007-2010: shorter maturities show the way Forex Automaton
3 LIBOR patterns: the story continues with CME:EM futures Forex Automaton
4 Forex-LIBOR correlations: EUR/JPY 2002-2009 Forex Automaton
5 Forex-LIBOR correlations: USD/JPY 2002-2009 Forex Automaton
6 Forex-LIBOR correlations: EUR/USD 2002-2009 Forex Automaton
7 USD LIBOR 2002-2008: predictability in times of credit tightening and expansion Forex Automaton
8 New Zealand Dollar (NZD) LIBOR: technical predictability overview Forex Automaton
9 Swedish Krona (SEK) LIBOR technical predictability overview Forex Automaton
10 Danish Krone (DKK) LIBOR technical predictability overview Forex Automaton
11 Canadian Dollar (CAD) LIBOR technical predictability overview Forex Automaton
12 Australian Dollar (AUD) LIBOR technical predictability overview Forex Automaton
13 Swiss Franc (CHF) LIBOR: technical predictability overview Forex Automaton
14 Pound Sterling (GBP) LIBOR rates: technical predictability overview Forex Automaton
15 Japanese Yen (JPY) LIBOR rates: technical predictability overview Forex Automaton
16 Euro LIBOR rates: technical predictability overview Forex Automaton
17 US Dollar (USD) LIBOR rates: technical predictability overview Forex Automaton