Azad, A.S.M. Sohel; Fang, Victor; Hung, Chi-Hsiou - In: International Review of Financial Analysis 22 (2012) C, pp. 38-47
In this paper we aim to link the volatility of interest rate swap (hereafter, IRS) markets to the macroeconomic risk/uncertainty of the UK and the US. In doing so, we obtain the low-frequency volatility of IRS using a recently developed Asymmetric Spline GARCH (ASP-GARCH) model of Rangel and...
