کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
963189 930271 2012 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market
چکیده انگلیسی
► This paper empirically analyzes the conditional correlation between treasury and swap markets using the asymmetric conditional correlation (A-DCC) model developed by Cappiello et al. (2006). ► We find that the dynamics of the conditional correlation of only the 2-year maturity differs from those of other maturities. ► We also find that the financial crisis dummies are all negative in particular with significance at the 5% level for 7 year, 10 year, and 30 year maturities.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 22, Issue 2, April 2012, Pages 381-394
نویسندگان
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