Volatility transmission of swap spreads among the US, Japan and the UK: A cross-correlation function approach

Applied Financial Economics

Volumn 22, Issue 11, 2012, Pages 849-862

  Toyoshima, Yuki ^a   Hamori, Shigeyuki ^a  

^a KOBE UNIVERSITY   (Japan)

Author keywords

causality in variance; cross correlation function (CCF) approach; swap markets; volatility spillover

Indexed keywords

CORRELATION; EMPIRICAL ANALYSIS; FINANCIAL CRISIS; FINANCIAL MARKET; SPILLOVER EFFECT;

JAPAN; UNITED KINGDOM; UNITED STATES;

EID: 84858169952     PISSN: 09603107     EISSN: 14664305     Source Type: Journal    
DOI: 10.1080/09603107.2011.628293     Document Type: Article

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