A volatility spillover analysis between bond and commodity markets as an indicator for global liquidity risk
Year of publication: |
2023
|
---|---|
Authors: | Kirkpinar, Ayşegul ; Mandacı, Pınar Evrım |
Published in: |
Panoeconomicus. - Novi Sad, ISSN 1452-595X, ZDB-ID 2261714-0. - Vol. 70.2023, 1, p. 71-100
|
Subject: | Volatility spillover | Bond markets | DCC-GARCH | Copula DCC-GARCH | Hong causality test | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Rentenmarkt | Bond market | ARCH-Modell | ARCH model | Kausalanalyse | Causality analysis | Öffentliche Anleihe | Public bond | Welt | World |
-
Ngene, Geoffrey M., (2019)
-
(2020)
-
Volatility interdependence between cryptocurrencies, equity, and bond markets
Harb, Etienne, (2024)
- More ...
-
Mandacı, Pınar Evrım, (2009)
-
Ownership concentration, managerial ownership and firm performance : evidence from Turkey
Mandacı, Pınar Evrım, (2010)
-
Integration vs segmentation in the global equities markets
Sener, Tulin, (2010)
- More ...