Volatility Transmission acros the Term Structure of Swap Markets: International Evidence
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- Pilar Abad & Alfonso Novales, 2004. "Volatility transmission across the term structure of swap markets: international evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 14(14), pages 1045-1058.
References listed on IDEAS
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Cited by:
- Silvio Colarossi & Andrea Zaghini, 2009.
"Gradualism, Transparency and the Improved Operational Framework: A Look at Overnight Volatility Transmission,"
International Finance, Wiley Blackwell, vol. 12(2), pages 151-170, August.
- Colarossi, Silvio & Zaghini, Andrea, 2007. "Gradualism, transparency and improved operational framework: A look at the overnight volatility transmission," CFS Working Paper Series 2007/16, Center for Financial Studies (CFS).
- 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.
- Julius Moschitz, 2009. "Monetary policy implementation and the Euro area money market," Applied Financial Economics, Taylor & Francis Journals, vol. 19(1), pages 39-57.
- 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.
- Malinská, Barbora, 2022. "Time-varying pricing of risk in sovereign bond futures returns," Finance Research Letters, Elsevier, vol. 47(PA).
- Bank for International Settlements, 2006. "The recent behaviour of financial market volatility," BIS Papers, Bank for International Settlements, number 29.
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More about this item
Keywords
Interest rate swaps; Term structure of interest rates; Autoregressive conditional heteroscedstic models; Volatility spillovers.;All these keywords.
JEL classification:
- 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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2003-10-28 (Econometric Time Series)
- NEP-FIN-2003-10-28 (Finance)
- NEP-RMG-2003-10-28 (Risk Management)
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