Volatility spillovers across international swap markets: The US, Japan, and the UK
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- Dimitrios P. Louzis, 2013. "Measuring return and volatility spillovers in euro area financial markets," Working Papers 154, Bank of Greece.
- Jin, Xiaoye, 2015. "Asymmetry in return and volatility spillover between China's interbank and exchange T-bond markets," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 340-353.
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- In, Francis & Cui, Jin & Maharaj, Elizabeth Ann, 2012. "The impact of a new term auction facility on Libor–OIS spreads and volatility transmission between money and mortgage markets during the subprime crisis," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1106-1125.
- Dean, Warren G. & Faff, Robert W. & Loudon, Geoffrey F., 2010. "Asymmetry in return and volatility spillover between equity and bond markets in Australia," Pacific-Basin Finance Journal, Elsevier, vol. 18(3), pages 272-289, June.
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"Forecasting interest rate swap spreads using domestic and international risk factors: evidence from linear and non-linear models,"
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- Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2006. "Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models," Discussion Paper Series 2006_6, Department of Economics, Loughborough University, revised Mar 2006.
- Indika Karunanayake & Abbas Valadkhani & Martin O'Brien, 2010. "Financial Crises And International Stock Market Volatility Transmission," Australian Economic Papers, Wiley Blackwell, vol. 49(3), pages 209-221, September.
- Sohel Azad, A.S.M. & Batten, Jonathan A. & Fang, Victor & Wickramanayake, Jayasinghe, 2015. "International swap market contagion and volatility," Economic Modelling, Elsevier, vol. 47(C), pages 355-371.
- Abbas Valadkhani & George Chen, 2014. "An empirical analysis of the US stock market and output growth volatility spillover effects on three Anglo-Saxon countries," International Review of Applied Economics, Taylor & Francis Journals, vol. 28(3), pages 323-335, May.
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