A behavioral analysis of the volatility of interbank interest rates in developed and emerging countries

A behavioral analysis of the volatility of interbank interest rates in developed and emerging countries

Purpose - This paper aims to analyse the volatility of the fixed income market from 11 countries (Brazil, Russia, India, China, South Africa, Argentina, Chile, Mexico, USA, Germany and Japan) from January 2000 to December 2011 by examining the interbank interest rates from each market. Design/method...

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Bibliographic Details
Main Authors: Nara Rossetti, Marcelo Seido Nagano, Jorge Luis Faria Meirelles
Format: Article
Language:English
Published: Emerald Publishing 2017-06-01
Series:Journal of Economics Finance and Administrative Science
Subjects:
Volatility
Emerging countries
ARCH-GARCH models
Fixed income
Online Access:https://www.emeraldinsight.com/doi/pdfplus/10.1108/JEFAS-02-2017-0033

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https://www.emeraldinsight.com/doi/pdfplus/10.1108/JEFAS-02-2017-0033

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