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Volatility transmission of swap spreads among the US, Japan and the UK : a cross-correlation function approach

Toyoshima, Yuki; Hamori, Shigeyuki - In: Applied financial economics 22 (2012) 10/12, pp. 849-862

Persistent link: https://www.econbiz.de/10009625006

Does federal funds futures rate contain information about the treasury bill rate?

Kishor, N. Kundan; Marfatia, H. A. - In: Applied financial economics 23 (2013) 16/18, pp. 1311-1324

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Volatility transmission across the term structure of swap markets : international evidence

Abad, Pilar; Novales, Alfonso - In: Applied financial economics 14 (2004) 14, pp. 1045-1058

Persistent link: https://www.econbiz.de/10002377770

An empirical analysis of dynamic dependences in the European corporate credit markets : bonds versus credit derivatives

Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio - In: Applied financial economics 24 (2014) 7/9, pp. 605-619

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Estimating single factor jump diffusion interest rate models

Sorwar, Ghulam - In: Applied financial economics 21 (2011) 22/24, pp. 1679-1689

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Global financial crisis and US interest rate swap spreads

Ito, Takayasu - In: Applied financial economics 20 (2010) 1/3, pp. 37-43

to cause more volatility in the market. The volatility can be a positive determinant of US swap spreads in the period of …This article investigates the determinants of US interest rate swap spreads in the period including the financial … crisis. The asymmetric impacts of the financial crisis on interest rate swap spreads are focused by dividing the whole sample …

Persistent link: https://www.econbiz.de/10003935962