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)
| Autores: | , |
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| Tipo de recurso: | informe técnico |
| Fecha de publicación: | 2002 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/64510 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/64510 |
| Access Level: | acceso abierto |
| Palabra clave: | E43 G00 G15 Interest rate swaps Term structure of interest rates Autoregressive conditional heteroscedstic models Volatility spillovers Mercados bursátiles y financieros |
| Sumario: | 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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