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The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?

Li, Leon; Scrimgeour, Frank G. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 475-497

Persistent link: https://www.econbiz.de/10013334844

Valuation and Risk Management of Vanilla LIBOR Swaptions in a Fallback

Skoufis, Georgios - 2022

of fixings for LIBOR interest rate swaps in terms of the relevant swap rates that reference the Risk-Free Rate that will … replace a particular LIBOR post its cessation. The nonlinear mappings proposed from the swap rate that references the Risk …-Free Rate index to the LIBOR swap rate that can be used contractually to value derivative instruments, such as vanilla European …

Persistent link: https://www.econbiz.de/10013309036

Forecasting swap rate volatility with information from swaptions

Liu, Xiaoxi; Xie, Jinming - 2023

Persistent link: https://www.econbiz.de/10013502696

Forecasting swap rate volatility with information from swaptions

Liu, Xiaoxi; Xie, Jinming - In: The journal of futures markets 43 (2023) 4, pp. 455-479

Persistent link: https://www.econbiz.de/10014293114

The term structure of government debt uncertainty

Mele, Antonio; Obayashi, Yoshiki; Yang, Shihao - 2019

Persistent link: https://www.econbiz.de/10012181125

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

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

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

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

Design and estimation of multi-currency quadratic models

Leippold, Markus; Wu, Liuren - In: Review of finance : journal of the European Finance … 11 (2007) 2, pp. 167-207

Persistent link: https://www.econbiz.de/10003714174