Euro Interest Rate Swap Yields: A GARCH Analysis
This paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows that the change in the short-term interest rate has an economically and statistically significant effect on the change in EUR swap yields of different maturity tenors in the subseque...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
World Scientific Publishing
2025-06-01
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| Series: | International Journal of Empirical Economics |
| Subjects: | |
| Online Access: | https://www.worldscientific.com/doi/10.1142/S2810943025500039 |
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