What determines the yen swap spread?
Year of publication: |
July 2015
|
---|---|
Authors: | Azad, A. S. M. Sohel ; Batten, Jonathan A. ; Fang, Victor |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 40.2015, p. 1-13
|
Subject: | Correlation risk | Business cycles | Interest rate swaps | Market skewness | Swap spread puzzle | Systematic risk | Japan | Yen swap markets | TIBOR | Swap | Zinsderivat | Interest rate derivative | Yen | Zinsstruktur | Yield curve | Währungsderivat | Currency derivative | Schätzung | Estimation | Risikoprämie | Risk premium | Risiko | Risk | Konjunktur | Business cycle |
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