Volatility transmission of swap spreads among the US, Japan and the UK: a cross-correlation function approach

Yuki Toyoshima () and Shigeyuki Hamori

Applied Financial Economics, 2012, vol. 22, issue 11, 849-862

Abstract: This article analyses volatility transmission across the swap markets of the US, Japan and the UK. The two-step procedure developed by Cheung and Ng (1996) is used to examine causality-in-mean and causality-in-variance among the three countries. The empirical findings indicate the existence of more causality-in-variance patterns during the time of financial crisis than in the normal period that preceded it.

Date: 2012
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DOI: 10.1080/09603107.2011.628293

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