Volatility Transmission acros the Term Structure of Swap Markets: International Evidence
Abstract
We characterize the behavior of volatility across the term structure of interest rate swaps in three currencies (Deutsche mark, Japanese yen and US Dollar)Download Info
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Paper provided by Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales in its series Documentos del Instituto Complutense de Análisis Económico with number 0220.Length: pages 20
Date of creation: 2002
Date of revision:
Handle: RePEc:ucm:doicae:0220
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Keywords: Interest rate swaps; Term structure of interest rates; Autoregressive conditional heteroscedstic models; Volatility spillovers.;Other versions of this item:
- Pilar Abad & Alfonso Novales, 2004. "Volatility transmission across the term structure of swap markets: international evidence," Applied Financial Economics, Taylor and Francis Journals, vol. 14(14), pages 1045-1058.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G00 - Financial Economics - - General - - - General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-28 (All new papers)
- NEP-ETS-2003-10-28 (Econometric Time Series)
- NEP-FIN-2003-10-28 (Finance)
- NEP-RMG-2003-10-28 (Risk Management)
References
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Silvio Colarossi & Andrea Zaghini, 2007. "Gradualism, Transparency and Improved Operational Framework: A Look at the Overnight Volatility Transmission," CFS Working Paper Series 2007/16, Center for Financial Studies.
- Bank for International Settlements, 2006. "The recent behaviour of financial market volatility," BIS Papers, Bank for International Settlements, number 29, March.
- Silvio Colarossi & Andrea Zaghini, 2009. "Gradualism, transparency and the improved operational framework: a look at the overnight volatility transmission," Temi di discussione (Economic working papers) 710, Bank of Italy, Economic Research and International Relations Area.
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