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Modeling volatility and changes in the swap spread

In, Francis Haeuck; Brown, Rob; Fang, Victor - In: International review of financial analysis 12 (2003) 5, pp. 545-561

Persistent link: https://www.econbiz.de/10001797475

Links among interest rate swap markets : US, UK, and Japan

In, Francis Haeuck; Brown, Rob; Fang, Victor - In: The journal of fixed income 13 (2003) 3, pp. 84-95

Persistent link: https://www.econbiz.de/10001968467

Analysts' recommendations: from which signal does the market take its lead?

Brown, Rob; Chan, Howard Wei-hong; Ho, Yew Kee - In: Review of quantitative finance and accounting 33 (2009) 2, pp. 91-111

Persistent link: https://www.econbiz.de/10003880516

Transmigration across price discovery categories : evidence from the US CDS and equity markets

Xiang, Vincent; Chng, Michael; Fang, Victor - In: The journal of futures markets 33 (2013) 6, pp. 573-599

Persistent link: https://www.econbiz.de/10009756561

Linking the Interest Rate Swap Markets to the Macroeconomic Risk : The UK and US Evidence

Azad, A. S. M. Sohel - 2015

In this paper we aim to link the volatility of interest rate swap (hereafter, IRS) markets to the macroeconomic risk/uncertainty of the UK and the US. In doing so, we obtain the low-frequency volatility of IRS using a recently developed Asymmetric Spline GARCH (ASP-GARCH) model of Rangel and...

Persistent link: https://www.econbiz.de/10013028716