Azad, A.S.M. Sohel; Fang, Victor; Hung, Chi-Hsiou - In: International Review of Financial Analysis 22 (2012) C, pp. 38-47
/uncertainty of the UK and the US. In doing so, we obtain the low-frequency volatility of IRS using a recently developed Asymmetric … volatility in order to examine market responses to key macroeconomic policies, and that market participants may rely on low-frequency … modelling. From the perspectives of practical implications, the findings suggest that policy makers should use low-frequency …
