Volatility transmission of swap spreads among the US, Japan and the UK: a cross-correlation function approach
This article analyses volatility transmission across the swap markets of the US, Japan and the UK. The two-step procedure developed by Cheung and Ng ( 1996 ) is used to examine causality-in-mean and causality-in-variance among the three countries. The empirical findings indicate the existence of mor...
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| Veröffentlicht in: | Applied financial economics 2012-06, Vol.22 (11), p.849-862 |
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| container_title | Applied financial economics |
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| creator | Toyoshima, Yuki Hamori, Shigeyuki |
| description | This article analyses volatility transmission across the swap markets of the US, Japan and the UK. The two-step procedure developed by Cheung and Ng (
1996
) is used to examine causality-in-mean and causality-in-variance among the three countries. The empirical findings indicate the existence of more causality-in-variance patterns during the time of financial crisis than in the normal period that preceded it. |
| doi_str_mv | 10.1080/09603107.2011.628293 |
| format | Article |
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1996
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1996
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| fulltext | fulltext |
| identifier | ISSN: 0960-3107 |
| ispartof | Applied financial economics, 2012-06, Vol.22 (11), p.849-862 |
| issn | 0960-3107 1466-4305 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_1021121584 |
| source | RePEc; Business Source Complete |
| subjects | Capital market Causality causality-in-variance Correlation Correlation analysis cross-correlation function (CCF) approach Empirical research Financial crisis Japan Spread Stock exchange Studies Swap arrangements swap markets U.S.A United Kingdom Volatility volatility spillover |
| title | Volatility transmission of swap spreads among the US, Japan and the UK: a cross-correlation function approach |
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