School of Acc Economics Finance
Burwood, Victoria 3215
Aggregate volatility risk, cross-sectional return, asset pricing test, implied volatility (VIX), anomaly
Financial Integration; Interest Rate Swap; Long-term Volatility; Short-term Volatility; Long-term Correlations; Short-term Correlations
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File name: IRFI.pdf
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Correlation risk; Business cycles; Interest rate swaps; Market skewness; Swap spread puzzle; Systematic risk; Japan; Yen swap markets
Trade-induced manipulation; Price-volume relationship; Market efficiency; Emerging markets; South Asia
Policy changes; DEA Efficiency; Returns-to-scale; Malmquist index
Interest Rate Swaps; Low-frequency Volatility; Macroeconomic Risk
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