Modeling volatility and changes in the swap spread

Research output: Contribution to journal › Article › Research › peer-review

Original language	English
Pages (from-to)	545 - 561
Number of pages	17
Journal	International Review of Financial Analysis
Volume	12
DOIs	https://doi.org/10.1016/S1057-5219(03)00067-X
Publication status	Published - 2003

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@article{7679f5063a854c899df4e968368a3b43,

title = "Modeling volatility and changes in the swap spread",

author = "In, \{Francis Haeuck\} and Brown, \{Robert L\} and Fang, \{Victor K F\}",

year = "2003",

doi = "10.1016/S1057-5219(03)00067-X",

language = "English",

volume = "12",

pages = "545 -- 561",

journal = "International Review of Financial Analysis",

issn = "1057-5219",

publisher = "Elsevier",

}

TY - JOUR

T1 - Modeling volatility and changes in the swap spread

AU - In, Francis Haeuck

AU - Brown, Robert L

AU - Fang, Victor K F

PY - 2003

Y1 - 2003

U2 - 10.1016/S1057-5219(03)00067-X

DO - 10.1016/S1057-5219(03)00067-X

M3 - Article

SN - 1057-5219

VL - 12

SP - 545

EP - 561

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

ER -