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A Daily View of the Term Structure Dynamics: Some International Evidence

✍ Scribed by Konstantinos Drakos


Book ID
110331557
Publisher
Springer
Year
2002
Tongue
English
Weight
68 KB
Volume
150
Category
Article
ISSN
0013-063X

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International evidence on alternative mo
✍ Antonio DΓ­az; Vicente Meneu; Eliseo Navarro πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 925 KB

## Abstract The term structure of instantaneous volatilities (TSV) of forward rates for different monetary areas (euro, U.S. dollar and British pound) is examined using daily data from at‐the‐money cap markets. During the sample period (two and a half years), the TSV experienced severe changes both