Tamakoshi, Go; Hamori, Shigeyuki - In: Research in International Business and Finance 30 (2014) C, pp. 83-90
Using the causality-in-variance and causality-in-mean tests advocated by Hong (2001), we examine volatility and mean transmissions between the US dollar (USD) and euro (EUR) LIBOR-OIS spreads from January 2005 to June 2011. Interestingly, during the global financial crisis period, despite the...