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Volatility Transmission acros the Term Structure of Swap Markets: International Evidence Author info | Abstract | Publisher info | Download info | Related research | Statistics Pilar Abad (Departamento de Economía Aplicada. Universidad de Vigo)
Alfonso Novales () (Departamento de Economía Cuantitativa. Universidad Complutense de Madrid)
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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.
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Date of creation: 2002Date of revision:
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French, Kenneth R. & Roll, Richard, 1986.
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
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.
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Bank for International Settlements, 2006.
"The recent behaviour of financial market volatility ,"
BIS Papers ,
Bank for International Settlements, number 29, 11.
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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 Department.
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