Volatility spillovers across the swap markets : evidence from US, Australian, and Japanese swap markets
Vivek Bhargava, D.K. Malhotra, George Tsetsekos
| Year of publication: |
2016
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|---|---|
| Authors: | Bhargava, Vivek ; Malhotra, Davinder Kumar ; Tsetsekos, George P. |
| Published in: |
International journal of bonds and derivatives. - Olney : Inderscience, ISSN 2050-2281, ZDB-ID 2765392-4. - Vol. 2.2016, 1, p. 59-86
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| Subject: | currency swaps | volatility spillover | interest rate swaps | Swap | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Japan | Australien | Australia | Zinsderivat | Interest rate derivative | Währungsderivat | Currency derivative | USA | United States | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011585700