Asymmetric dynamics in the correlations of global equity and bond returns
Lorenzo Cappiello; Robert F. Engle; Kevin Sheppard
| Year of publication: |
2006
|
|---|---|
| Authors: | Cappiello, Lorenzo ; Engle, Robert F. ; Sheppard, Kevin |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 4.2006, 4, p. 537-572
|
| Subject: | Aktienmarkt | Stock market | Rentenmarkt | Bond market | Volatilität | Volatility | Internationaler Finanzmarkt | International financial market | ARCH-Modell | ARCH model | Eurozone | Euro area | Euro | EU-Staaten | EU countries | Korrelation | Correlation | 1987-2001 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003565737