Complutense University Library

Volatility transmission acros the term structure of swap markets: international evidence

Impacto




Abad , Pilar and Novales Cinca, Alfonso (2002) Volatility transmission acros the term structure of swap markets: international evidence. [ UCM. Instituto Complutense de Análisis Económico. Documentos de trabajo; nº 0220, 2002, ]

[img]
Preview
PDF
260kB


Abstract

We characterize the behavior of volatility across the term structure of interest rate swaps in three currencies (Deutsche mark, Japanese yen and US Dollar)


Item Type:Working Paper or Technical Report
Additional Information:

JEL Classification: E43, G00, G15

Uncontrolled Keywords:Interest rate swaps, Term structure of interest rates, Autoregressive conditional heteroscedstic models, Volatility spillovers
Subjects:Social sciences > Economics > Stock exchanges
Series Name:UCM. Instituto Complutense de Análisis Económico. Documentos de trabajo
Volume:2002
Number:0220
ID Code:7679
Deposited On:04 Mar 2008
Last Modified:06 Feb 2014 07:55

Repository Staff Only: item control page