Abad , Pilar and Novales Cinca, Alfonso (2002) Volatility transmission acros the term structure of swap markets: international evidence. [Working Paper or Technical Report]
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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: | 29 Aug 2011 10:35 |
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