Swiss Franc (CHF) LIBOR: technical predictability overview - Correlations between CHF LIBOR maturities, 3-month and longer terms

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Written by Forex Automaton   
Monday, 10 November 2008 15:45
Article Index
Swiss Franc (CHF) LIBOR: technical predictability overview
CHF LIBOR volatility
CHF LIBOR autocorrelations
Correlations between CHF LIBOR maturities, s/n-o/n and longer terms
Correlations between CHF LIBOR maturities, 1-week and longer terms
Correlations between CHF LIBOR maturities, 1-month and longer terms
Correlations between CHF LIBOR maturities, 3-month and longer terms
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Correlations between 3-month and longer term LIBOR rates

Correlation between logarithmic returns in  3-month and 6-month CHF LIBOR rates as a function of time lag, days Correlation between logarithmic returns in  3-month and 12-month CHF LIBOR rates as a function of time lag, days

Fig.7: Correlation between logarithmic returns in 3-month and, top to bottom: 6-month and 12-month CHF LIBOR rates as a function of time lag, days, shown against the backdrop of statistical noise (red). The noise is obtained from martingale simulations based on the historical LIBOR volatilities for the period under study. The noise is presented as mean plus-minus 1 RMS, where RMS characterizes the distribution of the correlation value obtained for each particular bin by analyzing 20 independent simulated uncorrelated time series.

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Last Updated ( Monday, 27 December 2010 17:08 )