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

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:06 Feb 2014 07:55

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