Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
963189 | Journal of International Financial Markets, Institutions and Money | 2012 | 14 Pages |
Abstract
⺠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). ⺠We find that the dynamics of the conditional correlation of only the 2-year maturity differs from those of other maturities. ⺠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.
Related Topics
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Authors
Yuki Toyoshima, Go Tamakoshi, Shigeyuki Hamori,