Volatility spillovers across international swap markets : the US, Japan, and the UK
Year of publication: |
2007
|
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Authors: | In, Francis Haeuck |
Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 26.2007, 3, p. 329-341
|
Subject: | Swap | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Preiskonvergenz | Price convergence | VAR-Modell | VAR model | USA | United States | Japan | Großbritannien | United Kingdom | 1996-2001 |
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