Determinants of Japanese yen interest rate swap spreads : evidence from a smooth transition vector autoregressive model
Ying Huang; Carl R. Chen; Maximo Camacho
| Year of publication: |
2008
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|---|---|
| Authors: | Huang, Ying ; Chen, Carl R. ; Camacho, Maximo |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 28.2008, 1, p. 82-107
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| Subject: | Zinsderivat | Interest rate derivative | Öffentliche Anleihe | Public bond | Volatilität | Volatility | Schock | Shock | VAR-Modell | VAR model | Japan | 1997-2005 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003746341