Narrow search
Showing 1 - 10 of 12,010
Cover Image
Do jumps matter in both equity market returns and integrated volatility : a comparison of Asian developed and emerging markets
Zada, Hassan; Hassan, Arshad; Wong, Wing Keung - In: Economies : open access journal 9 (2021) 2, pp. 1-26
purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for …
Persistent link: https://www.econbiz.de/10012548334
Cover Image
An empirical analysis of factors driving the swap spread
Asgharian, Hossein; Karlsson, Sonnie - 2008
In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … the Mortgage Backed Security holders have strong impacts on the US swap spread. …
Persistent link: https://www.econbiz.de/10010323750
Cover Image
An empirical analysis of factors driving the swap spread
Asgharian, Hossein; Karlsson, Sonnie - In: The journal of fixed income 18 (2008/09) 2, pp. 41-56
Persistent link: https://www.econbiz.de/10003777616
Cover Image
An empirical analysis of factors driving the swap spread
Asgharian, Hossein; Karlsson, Sonnie - 2008
In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … the Mortgage Backed Security holders have strong impacts on the US swap spread. …
Persistent link: https://www.econbiz.de/10010126547
Cover Image
Spillovers of international interest rate swap markets and stock market volatility
Lee, Hsiu-Chuan; Hsu, Chih-Hsiang; Chien, Cheng-Yi - In: Managerial finance 42 (2016) 10, pp. 943-962
Persistent link: https://www.econbiz.de/10011553926
Cover Image
En empirisk analyse af de bestemmende faktorer fpr swap spændet
Asgharian, Hossein (contributor);  … - 2008
In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … the Mortgage Backed Security holders have strong impacts on the US swap spread. …
Persistent link: https://www.econbiz.de/10003721205
Cover Image
Volatility relation between credit default swap and stock market : new empirical tests
Mateev, Miroslav - In: Journal of economics and finance 43 (2019) 4, pp. 681-712
Persistent link: https://www.econbiz.de/10012385165
Cover Image
A joint analysis of market indexes in credit default swap, volatility and stock markets
Fonseca, José da; Wang, Peiming - In: Applied economics 48 (2016) 19/21, pp. 1767-1784
Persistent link: https://www.econbiz.de/10011589737
Cover Image
Information content and market liquidity in the fixed income market : evidence from the swaption market
Hattori, Takahiro - In: Finance research letters 45 (2022), pp. 1-5
Persistent link: https://www.econbiz.de/10014574914
Cover Image
The lead-lag relationship between US industry-level credit and stock markets
Shahzad, Syed Jawad Hussain; Safwan Mohd Nor; Nur Azura … - In: Journal of economic studies 44 (2017) 4, pp. 518-539
Persistent link: https://www.econbiz.de/10011960865