Template-type: ReDIF-Paper 1.0
Author-Name: Pilar Abad
Author-Workplace-Name: Departamento de Economía Aplicada. Universidad de Vigo
Author-Name: Alfonso Novales 
Author-Email: anovales@ccee.ucm.es
Author-Homepage: https://www.ucm.es/fundamentos-analisis-economico2/novales-cinca,-alfonso
Author-Person: pno7
Author-Workplace-Name: Departamento de Economía Cuantitativa. Universidad Complutense de Madrid
Author-Workplace-Homepage: https://www.ucm.es/fundamentos-analisis-economico2
Title: Volatility Transmission acros the Term Structure of Swap Markets: International Evidence
Abstract: We characterize the behavior of volatility across the term structure of interest rate swaps 
	in three currencies (Deutsche mark, Japanese yen and US Dollar)
Classification-JEL: E43, G00, G15
Keywords: Interest rate swaps, Term structure of interest rates, Autoregressive conditional heteroscedstic 
	models, Volatility spillovers.
Length: pages 20
Creation-Date: 2002
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae0220.txt
File-URL: https://eprints.ucm.es/id/eprint/7679/1/0220.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:0220