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

Author: Toyoshima Yuki   Hamori Shigeyuki  

Publisher: Routledge Ltd

ISSN: 1466-4305

Source: Applied Financial Economics, Vol.22, Iss.11, 2012-06, pp. : 849-862

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract