Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market

Journal of International Financial Markets, Institutions and Money

Volumn 22, Issue 2, 2012, Pages 381-394

  Toyoshima, Yuki ^a   Tamakoshi, Go ^a   Hamori, Shigeyuki ^a  

^a KOBE UNIVERSITY   (Japan)

Author keywords

Asymmetric dynamic conditional correlation model; Contagion effect; Financial crisis; Swap market; Treasury market

Indexed keywords

EID: 84857113915     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2011.12.002     Document Type: Article

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