Volatility transmission acros the term structure of swap markets: international evidence
We characterize the behavior of volatility across the term structure of interest rate swaps in three currencies (Deutsche mark, Japanese yen and US Dollar)
| Authors: | , |
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| Format: | report |
| Publication Date: | 2002 |
| Country: | España |
| Institution: | Universidad Complutense de Madrid (UCM) |
| Repository: | Docta Complutense |
| Language: | English |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/64510 |
| Online Access: | https://hdl.handle.net/20.500.14352/64510 |
| Access Level: | Open access |
| Keyword: | E43 G00 G15 Interest rate swaps Term structure of interest rates Autoregressive conditional heteroscedstic models Volatility spillovers Mercados bursátiles y financieros |
| Summary: | We characterize the behavior of volatility across the term structure of interest rate swaps in three currencies (Deutsche mark, Japanese yen and US Dollar) |
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