SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Modeling volatility and changes in the swap spread · Study

ArticleShelves

ArticleModeling volatility and changes in the swap spread

Francis Haeuck In2003

Article2003

Modeling volatility and changes in the swap spread

Francis Haeuck In · Rob Brown · Victor Fang

21 citations·0/0 files stored·International Review of Financial Analysis

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 21 citations exist upstream.

References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 2001The Determinants of Credit Spread Changes 1991Common Factors Affecting Bond Returns 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields 1998The Relation Between Treasury Yields and Corporate Bond Yield Spreads 1995Asymmetric volatility transmission in international stock markets

Cited by

2012Determinants of bank credit default swap spreads: The role of the housing sector 2017The housing market and the credit default swap premium in the UK banking sector: A VAR approach 2017The non-monotonic impact of bank size on their default swap spreads: Cross-country evidence 2007Determinants of Japanese Yen interest rate swap spreads: Evidence from a smooth transition vector autoregressive model 2011Low-Frequency Volatility of Yen Interest Rate Swap Market in Relation to Macroeconomic Risk*

Details

Year2003

Typearticle

Published2003-01-01

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations21

Files0 public / 0

ShelfCredit Risk and Financial Regulations

Identifiers

doi10.1016/s1057-5219(03)00067-x

openalex_workW2079103452

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2012Linking the interest rate swap markets to the macroeconomic risk: The UK and us evidence