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)

Year of publication:	2002
Authors:	Novales, Alfonso ; Abad, Pilar
Institutions:	Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
Subject:	Interest rate swaps \| Term structure of interest rates \| Autoregressive conditional heteroscedstic models \| Volatility spillovers

More details

Extent:	application/pdf
Series:	Documentos de Trabajo del ICAE.
Type of publication:	Book / Working Paper
Language:	English
Notes:	pages 20
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; G00 - Financial Economics. General ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005106817

A service of the