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

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

Francis In2007

Article2007

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

41 citations·0/0 files stored·Journal of International Money and Finance

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

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References

1992ARCH modeling in finance 1990Correlations in Price Changes and Volatility across International Stock Markets 2002Regime Switches in Interest Rates 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields 1995Asymmetric volatility transmission in international stock markets 1994Hourly volatility spillovers between international equity markets 1995Wharton Survey of Derivatives Usage by U.S. Non-Financial Firms 1993MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE

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2022Measuring Return and Volatility Spillovers in Euro Area Financial Markets 2011Modelling Australian stock market volatility 2015Measuring spillover effects in Euro area financial markets: a disaggregate approach 2012Measuring Return and Volatility Spillovers in Euro Area Financial Markets

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Year2007

Typearticle

Published2007-01-23

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations41

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jimonfin.2006.11.007

openalex_workW2063329909

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