*We thank an anonymous referee of International Review of Finance for insightful comments and suggestions, which increased the value of this paper. A special thank to Jose Gonzalo Rangel for sharing his computer program of Spline-GARCH model. The first author is thankful to MRGS (Monash Research Graduate School, Monash University) for financial support toward his doctoral study at Monash. All remaining errors are our responsibility.
Low-Frequency Volatility of Yen Interest Rate Swap Market in Relation to Macroeconomic Risk*
Version of Record online: 20 APR 2011
© 2011 The Authors. International Review of Finance © International Review of Finance Ltd. 2011
International Review of Finance
Volume 11, Issue 3, pages 353–390, September 2011
How to Cite
SOHEL AZAD, A.S.M., FANG, V. and WICKRAMANAYAKE, J. (2011), Low-Frequency Volatility of Yen Interest Rate Swap Market in Relation to Macroeconomic Risk. International Review of Finance, 11: 353–390. doi: 10.1111/j.1468-2443.2011.01129.x
- Issue online: 5 SEP 2011
- Version of Record online: 20 APR 2011
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