Bhargava, Vivek; Malhotra, D.K.; Russel, Philip; Singh, … - In: International Journal of Emerging Markets 7 (2012) 3, pp. 289-304
Purpose – The purpose of this paper is to examine if the volatility in the US dollar interest rate swap market impacts the volatility of the swap rates in the Indian swap market. Design/methodology/approach – The authors use GARCH, EGARCH, and TGARCH modeling to examine volatility spillover...
