Toyoshima, Yuki; Tamakoshi, Go; Hamori, Shigeyuki - In: Journal of International Financial Markets, … 22 (2012) 2, pp. 381-394
Using the asymmetric dynamic conditional correlation (A-DCC) model developed by Cappiello et al. (2006), this paper … empirically analyzes the conditional correlation between treasury and swap markets from February 9, 2006 to May 31, 2011, and … makes two key contributions. First, the dynamics of the conditional correlation of only the 2-year maturity differs from …