TY  - RPRT
AU  - Abad Romero, Pilar
AU  - Novales Cinca, Alfonso Santiago
PY  - 2002
UR  - https://hdl.handle.net/20.500.14352/64510
AB  - We characterize the behavior of volatility across the term structure of interest rate swaps in three currencies (Deutsche mark, Japanese yen and US Dollar)
LA  - eng
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Interest rate swaps
KW  - Term structure of interest rates
KW  - Autoregressive conditional heteroscedstic models
KW  - Volatility spillovers
TI  - Volatility transmission acros the term structure of swap markets: international evidence
TY  - technical report
VL  - 2002
ER  -