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Modeling volatility and changes in the swap spread

In, Francis; Brown, Rob; Fang, Victor - In: International Review of Financial Analysis 12 (2003) 5, pp. 545-561

Persistent link: https://www.econbiz.de/10005229033

Australian and US interest rate swap markets: comparison and linkages

In, Francis; Fang, Victor; Brown, Rob - In: Accounting and Finance 44 (2004) 1, pp. 45-56

We investigate and compare the determinants of US and Australian interest rate swap spreads and the linkages between these markets. The slope of the risk-free term structure is the most significant determinant and its importance is greater for longer terms to maturity. Interest rate levels and,...

Persistent link: https://www.econbiz.de/10005157798

Australian and US interest rate swap markets: comparison and linkages

In, Francis; Fang, Victor; Brown, Rob - In: Accounting and finance : journal of the Accounting … 44 (2004) 1, pp. 45-56

Persistent link: https://www.econbiz.de/10006248896

LINKS AMONG INTEREST RATE SWAP MARKETS: U.S., U.K., AND JAPAN

In, Francis; Brown, Rob; Fang, Victor - In: The journal of fixed income 13 (2003) 3, pp. 84

Persistent link: https://www.econbiz.de/10007156046

Modeling volatility and changes in the swap spread

In, Francis; Brown, Rob; Fang, Victor - In: International review of financial analysis 12 (2003) 5, pp. 545-562

Persistent link: https://www.econbiz.de/10007158302

MODELING THE DETERMINANTS OF SWAP SPREADS

Brown, Rob; In, Francis; Fang, Victor - In: The journal of fixed income 12 (2002) 1, pp. 29-40

Persistent link: https://www.econbiz.de/10007165966