This book offers an introduction to wavelet theory and provides the essence of wavelet
analysis OCo including Fourier analysis and spectral analysis; the maximum overlap …

This paper examines volatility spillovers across the three major international swap markets,
namely, the US, Japan, and the UK. We apply a multivariate VAR-EGARCH model by …

This book arises from a fortunate coincidence of interests among the Bank of Finland,
SUERF (Société Universitaire Européene des Recherches Financières) and the editors and …

Purpose The purpose of this paper is to investigate volatility spillovers across the interest
rate swap markets of the G7 economies, and then the authors investigate whether spillovers …

Purpose–The purpose of this paper is to examine if the volatility in the US dollar interest rate
swap market impacts the volatility of the swap rates in the Indian swap market …

Using interest rate swap yield and spread data the linkages and volatility transmission
between three major international swap markets: Japan, UK and the US are investigated …

This paper investigates whether and to what extent the Korean and Chinese swap markets
are linked to the US counterpart. We apply bivariate EGARCH models to daily closing mid …

The swap spread is defined as the difference between the fixed rate of an interest rate swap
and the yield of the treasury with the same maturity. The swap spread is usually interpreted …

This paper uses daily sovereign credit default swap (CDS) prices to investigate how the
credit risks of major Latin American reference entities are interlinked. Our empirical findings …

This paper compares the theoretical price of interest rate swaps implied from the yield curve
with the actual Kuala Lumpur Interbank Offer Rates used for swap resets in the Malaysian …