Volatility transmission of swap spreads among the US, Japan and the UK: a cross-correlation function approach
AbstractThis 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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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 22 (2012)
Issue (Month): 11 (June)
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Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
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