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Linking the interest rate swap markets to the macroeconomic risk : The UK and us evidence

journal contribution

posted on 2012-04-01, 00:00 authored by Sohel AzadSohel Azad, Victor Fang, C H Hung

Linking the interest rate swap markets to the macroeconomic risk : The UK and us evidence

History

Journal

International review of financial analysis

Volume

22

Pagination

38 - 47

Publisher

Elsevier BV

Location

Amsterdam, Netherlands

Publisher DOI

https://doi.org/10.1016/j.jrfa.2012.03.001

ISSN

1057-5219

eISSN

1873-8079

Language

eng

Publication classification

C1 Refereed article in a scholarly journal

Copyright notice

2012, Elsevier

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Linking the interest rate swap markets to the macroeconomic risk : The UK and us evidence

Research Publications

Categories

Law

Keywords

Interest rate swaps macroeconomic risk low frequency volatility Social Sciences Business, Finance Business & Economics Low-frequency Volatility SPLINE-GARCH MODEL LONG-RUN STOCK UNCERTAINTY Interest Rate Swaps; Low-frequency Volatility; Macroeconomic Risk

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All Rights Reserved

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