Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market
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- Go Tamakoshi & Shigeyuki Hamori, 2013. "On the Time-varying Linkages among the London Interbank Offer Rates for Major European Currencies," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(1), pages 46-53, January.
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- El Abed, Riadh & Zardoub, Amna, 2017. "Time varying and asymmetric effect between sovereign credit market and financial market: The asymmetric DCC model," Economics Discussion Papers 2017-97, Kiel Institute for the World Economy (IfW).
More about this item
KeywordsAsymmetric dynamic conditional correlation model; Treasury market; Swap market; Financial crisis; Contagion effect;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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