Open AccessModeling the Determinants of Swap Spreads
Author(s) -
Rob Brown,
Francis In,
Victor Fang
Publication year - 2002
Publication title -
the journal of fixed income
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.271
H-Index - 14
eISSN - 2168-8648
pISSN - 1059-8596
DOI - 10.3905/jfi.2002.319316
Subject(s) - econometrics , variance swap , heteroscedasticity , volatility (finance) , interest rate swap , autoregressive model , proxy (statistics) , economics , swap (finance) , credit default swap , market liquidity , multivariate statistics , interest rate , financial economics , credit risk , monetary economics , implied volatility , volatility swap , statistics , mathematics , actuarial science , finance
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