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Volatility transmission of swap spreads among the US, Japan and the UK: a cross-correlation function approach

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  • Yuki Toyoshima
  • Shigeyuki Hamori

Abstract

This article analyses volatility transmission across the swap markets of the US, Japan and the UK. The two-step procedure developed by Cheung and Ng (1996) is used to examine causality-in-mean and causality-in-variance among the three countries. The empirical findings indicate the existence of more causality-in-variance patterns during the time of financial crisis than in the normal period that preceded it.

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File URL: http://hdl.handle.net/10.1080/09603107.2011.628293
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 22 (2012)
Issue (Month): 11 (June)
Pages: 849-862

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Handle: RePEc:taf:apfiec:v:22:y:2012:i:11:p:849-862

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Cited by:
  1. Xu, Haifeng & Hamori, Shigeyuki, 2012. "Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis," Journal of Asian Economics, Elsevier, vol. 23(4), pages 344-352.

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