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

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Abad , Pilar and Novales Cinca, Alfonso (2002) Volatility transmission acros the term structure of swap markets: international evidence. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 20, 2002, ]

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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
Uncontrolled Keywords:Interest rate swaps, Term structure of interest rates, Autoregressive conditional heteroscedstic models, Volatility spillovers
Subjects:Social sciences > Economics > Stock exchanges
JEL:E43, G00, G15
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2002
Number:20
ID Code:7679
Deposited On:04 Mar 2008
Last Modified:05 Dec 2017 12:29

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