A re-examination of Libor rigging: a time-varying cointegration perspective

DOI10.1080/14697688.2016.1267390zbMath1402.91827OpenAlexW2590964676MaRDI QIDQ4555146

Chew Lian Chua, Sandy Suardi, Yuanchen Chang

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1267390

zbMATH Keywords

collusionmanipulationtime-varying cointegration

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)

Cites Work

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• A simple and efficient simulation smoother for state space time series analysis
• COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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