期刊Asymmetric-dynamics-in-correlations-of-treasury-and-swap-markets-Evidence-from-the-US-market.pdfVIP

Int. Fin. Markets, Inst. and Money 22 (2012) 381–394 Contents lists available at SciVerse ScienceDirect Journal of International Financial Markets, Institutions Money journal homepage: /locate/intfin Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market a a b,∗ Yuki Toyoshima , Go Tamakosh