Long Term Volatility of Interest Rate Swap and Macroeconomic Risk in Korean Market
2013 ◽
Vol 21
(3)
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pp. 255-273
Keyword(s):
This paper tries to empirically investigate whether macroeconomic risk may be statistically useful in explaining long-term volatility of interest rate swap (IRS) in korean market. This paper uses the component-jump model to estimate long-term volatility of IRS from 1/2/2003 to 1/31/2013. By using the component-jump model, the IRS volatility is decomposed into a long-term and a short-term component. According to this study, slope of yield curve and foreign exchange volatility as a proxy of macroeconomic risk have been significant in explaining long-term volatility of IRS.
2010 ◽
Vol 18
(1)
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pp. 43-75
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2011 ◽
Vol 11
(3)
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pp. 353-390
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2020 ◽
Vol 54
(2)
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pp. 113
Keyword(s):
2018 ◽
Vol 54
(11)
◽
pp. 2516-2532
2007 ◽
Vol 17
(3)
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pp. 261-276
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