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Identifying term structure volatility from the LIBOR-swap curve

Thompson, Samuel B. - In: The review of financial studies 21 (2008) 2, pp. 819-854

Persistent link: https://www.econbiz.de/10003716657

Volatility comovement : a multifrequency approach

Calvet, Laurent E.; Fisher, Adlai J.; Thompson, Samuel B. - 2004

Persistent link: https://www.econbiz.de/10002195944

Volatility comovement: a multifrequency approach

Calvet, Laurent E.; Fisher, Adlai; Thompson, Samuel B. - In: Journal of econometrics 131 (2006) 1/2, pp. 179-215

Persistent link: https://www.econbiz.de/10003298573

Volatility Comovement : A Multifrequency Approach

Calvet, Laurent E. - 2004

We implement a multifrequency volatility decomposition of three exchange rates and show that components with similar durations are strongly correlated across series. This motivates a bivariate extension of the Markov-Switching Multifractal (MSM) introduced in Calvet and Fisher (2001, 2004)....

Persistent link: https://www.econbiz.de/10012467993