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Applied Financial Economics Letters
Volumn 3, Issue 1, 2007, Pages 1-4
The analysis of interest rate swap spreads in Japan
Author keywords

[No Author keywords available]
Indexed keywords

EID: 33845607631     PISSN: 17446546     EISSN: 17446554     Source Type: Journal    
DOI: 10.1080/17446540600883194     Document Type: Article
Times cited : (9)
References (13)
  • 1
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    • Brown, K.1    Harlow, W.2    Smith, D.J.3
  • 2
    • 1242265777 scopus 로고    scopus 로고
    • Estimating the risk premium of swap spreads. Two econometric GARCH-based techniques
    • Castagnetti, C. (2004) Estimating the risk premium of swap spreads. Two econometric GARCH-based techniques, Applied Financial Economics, 14, 93-104.
    • (2004) Applied Financial Economics , vol.14 , pp. 93-104
    • Castagnetti, C.1
  • 3
    • 0031256283 scopus 로고    scopus 로고
    • Swap credit risk: An empirical investigation on transaction data
    • Cossin, D. and Pirotte, H. (1997) Swap credit risk: an empirical investigation on transaction data, Journal of Banking & Finance, 21, 1351-73.
    • (1997) Journal of Banking & Finance , vol.21 , pp. 1351-1373
    • Cossin, D.1    Pirotte, H.2
  • 4
    • 0040799595 scopus 로고    scopus 로고
    • Swap rates and credit quality
    • Duffie, D. and Huang, M. (1996) Swap rates and credit quality, Journal of Finance, 51, 921-49.
    • (1996) Journal of Finance , vol.51 , pp. 921-949
    • Duffie, D.1    Huang, M.2
  • 6
    • 33845667835 scopus 로고    scopus 로고
    • Empirical study of the yen interest rate swap spread
    • Hamano, M. (1997) Empirical study of the yen interest rate swap spread, Gendai Finance (Modern Finance), 1, 55-67.
    • (1997) Gendai Finance (Modern Finance) , vol.1 , pp. 55-67
    • Hamano, M.1
  • 8
    • 0035615263 scopus 로고    scopus 로고
    • Identifying the factors that affect interest rate swap spreads: Some evidence from the United States and the United Kingdom
    • Lekkos, I. and Milas, C. (2001) Identifying the factors that affect interest rate swap spreads: some evidence from the United States and the United Kingdom, Journal of Futures Markets, 21, 737-68.
    • (2001) Journal of Futures Markets , vol.21 , pp. 737-768
    • Lekkos, I.1    Milas, C.2
  • 9
    • 0000807650 scopus 로고
    • The tax-adjusted yield curve
    • McCulloch, H. J. (1975) The tax-adjusted yield curve, Journal of Finance, 30, 811-30.
    • (1975) Journal of Finance , vol.30 , pp. 811-830
    • McCulloch, H.J.1
  • 10
    • 0031138985 scopus 로고    scopus 로고
    • An empirical examination of basic valuation models for plain vanilla U.S. interest rate swaps
    • Minton, B. A. (1997) An empirical examination of basic valuation models for plain vanilla U.S. interest rate swaps, Journal of Financial Economics, 44, 251-77.
    • (1997) Journal of Financial Economics , vol.44 , pp. 251-277
    • Minton, B.A.1
  • 11
    • 0000706085 scopus 로고
    • A simple, positive semi - Definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, W. K. and West, K. D. (1987) A simple, positive semi - definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-8.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 12
    • 33646778518 scopus 로고    scopus 로고
    • Modelling credit spreads on yen Eurobonds within an equilibrium correction framework
    • Pynnönen, S., Hogan, W. P. and Batten, J. A. (2006) Modelling credit spreads on yen Eurobonds within an equilibrium correction framework, Applied Financial Economics, 16, 583-606.
    • (2006) Applied Financial Economics , vol.16 , pp. 583-606
    • Pynnönen, S.1    Hogan, W.P.2    Batten, J.A.3

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.