Volatility Transmission acros the Term Structure of Swap Markets: International Evidence

Pilar Abad and Alfonso Novales

Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

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)

Keywords: Interest rate swaps; Term structure of interest rates; Autoregressive conditional heteroscedstic models; Volatility spillovers. (search for similar items in EconPapers)
JEL-codes: E43 G00 G15 (search for similar items in EconPapers)
Pages: pages 20
Date: 2002
New Economics Papers: this item is included in nep-ets, nep-fin and nep-rmg
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Journal Article: Volatility transmission across the term structure of swap markets: international evidence (2004)
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