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

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References

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78 cited

2001Identifying the Factors that Affect Interest‐Rate Swap Spreads: Some Evidence from the United States and the United Kingdom76 cited

Cited by

2022Measuring Return and Volatility Spillovers in Euro Area Financial Markets34 cited
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2015Measuring spillover effects in Euro area financial markets: a disaggregate approach28 cited
2012Measuring Return and Volatility Spillovers in Euro Area Financial Markets28 cited
2011The impact of a new term auction facility on Libor–OIS spreads and volatility transmission between money and mortgage markets during the subprime crisis25 cited
2008Volatility Transmission Among the CDS, Equity, and Bond Markets23 cited
2010Asymmetric volatility spillovers between stock market and real activity: Evidence from the UK and the US22 cited