Applied financial econometric analysis : the dynamics of swap spreads and the estimation of volatility
This Thesis contains an examination of the time-series properties of swap spreads, their relation with credit spreads and an estimation of the risk premium embedded in the swap spread curve. Chapter 2 introduces the main institutional aspects of swap markets, and studies the time-series properties o...
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London School of Economics and Political Science (University of London)
2003
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.411311 |