Modeling volatility and changes in the swap spread

International Review of Financial Analysis

Volumn 12, Issue 5, 2003, Pages 545-561

  In, Francis ^a   Brown, Rob ^b   Fang, Victor ^a  

^a MONASH UNIVERSITY   (Australia)

^b UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

EGARCH; Multivariate; U.S. swap spread; Volatility

Indexed keywords

EID: 0042865944     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1057-5219(03)00067-X     Document Type: Article

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