Volatility spillovers across international swap markets: The US, Japan, and the UK

@inproceedings{In2005VolatilitySA,
  title={Volatility spillovers across international swap markets: The US, Japan, and the UK},
  author={Francis In},
  year={2005}
}
Abstract This paper examines volatility spillovers across the three major international swap markets, namely, the US, Japan, and the UK. We apply a multivariate VAR-EGARCH model by incorporating the slope of term structure and corporate spread variables to capture the time-varying nature of swap spread volatility across countries. Our empirical findings show that the changes in the swap spreads are significantly influenced by the slope of term structure variable in all three currencies. We find… CONTINUE READING

Topics from this paper.

Citations

Publications citing this paper.
SHOWING 1-10 OF 13 CITATIONS

Modelling Australian stock market volatility

VIEW 7 EXCERPTS
CITES METHODS & BACKGROUND
HIGHLY INFLUENCED

Similar Papers

Loading similar papers…