Volatility transmission acros the term structure of swap markets: international evidence
| dc.contributor.author | Abad, Pilar | |
| dc.contributor.author | Novales Cinca, Alfonso Santiago | |
| dc.date.accessioned | 2023-06-21T01:45:56Z | |
| dc.date.available | 2023-06-21T01:45:56Z | |
| dc.date.issued | 2002 | |
| dc.description.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) | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.faculty | Instituto Complutense de Análisis Económico (ICAE) | |
| dc.description.refereed | TRUE | |
| dc.description.status | pub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/7679 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/64510 | |
| dc.issue.number | 20 | |
| dc.language.iso | eng | |
| dc.page.total | 20 | |
| dc.publication.place | Madrid | |
| dc.publisher | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | |
| dc.relation.ispartofseries | Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE) | |
| dc.rights.accessRights | open access | |
| dc.subject.jel | E43 | |
| dc.subject.jel | G00 | |
| dc.subject.jel | G15 | |
| dc.subject.keyword | Interest rate swaps | |
| dc.subject.keyword | Term structure of interest rates | |
| dc.subject.keyword | Autoregressive conditional heteroscedstic models | |
| dc.subject.keyword | Volatility spillovers | |
| dc.subject.ucm | Mercados bursátiles y financieros | |
| dc.title | Volatility transmission acros the term structure of swap markets: international evidence | |
| dc.type | technical report | |
| dc.volume.number | 2002 | |
| dcterms.references | Ayuso, J, Haldane, AG and Restoy, F. 1997. Volatility transmission along the money market yield curve. Weltwirtschaftliches Archiv-Review of World Economics, 133(1): 56–75. Baillie, RT and Bollerslev, T. 1989. The message in the daily exchange rates: a conditional variance tale,. Journal of Business and Economic Statistics, 7: 297–305. Bollerslev, T. 1986. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31: 307–27. Bollerslev, T. 1987. A conditional heteroscedastic time series model for speculative prices and rates of return,. Review of Economics and Statistics, 69: 542–7. Bollerslev, T and Wooldridge, JM. 1992. Quasi maximum likelihood estimation and inference in dynamic models with time varying covariance. Econometric Reviews, 11(2): 143–72. Engle, RF and Ng, V. 1993. Measuring and testing the impact of news on volatility. The Journal of Finance, 48(5): 1749–78. Engle, RF, Lilien, DM and Robins, RP. 1987. Estimating time varying risk premia in the term structure: the Arch–M model. Econometrica, 55: 391–407. Flores, R and Novales, A. 1997a. Forecasting with periodic models: a comparison with time invariant coefficient models. International Journal of Forecasting, 13: 393–405. Flores, R and Novales, A. 1997b. A general test for univariate seasonality. Journal of Time Series Analysis, 18(1): 29–49. French, KR and Roll, R. 1986. Stock return variances: the arrival of information and the reaction of traders. Journal of Financial Economics, 17: 5–26. Glosten, LR, Jaganathan, R and Runkle, D. 1993. On the relationship between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48: 1779–801. Ghysels E Osborne. DR 2001 The Econometric Analysis of Seasonal Time Series, Cambridge University Press Cambridge. Nelson, DB. 1992. Filtering and forecasting with misspecified Arch models I. Journal of Econometrics, 52: 61–112. Newey, W and West, K. 1987. A simple positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix. Econometrica, 55: 703–08. | |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | 1ebcfd7a-98fe-4310-bd7a-db2e0e8d1bed | |
| relation.isAuthorOfPublication.latestForDiscovery | 1ebcfd7a-98fe-4310-bd7a-db2e0e8d1bed |
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