Do fixed income securities also show asymmetric effects in conditional second moments?
Year of publication: |
2000-01
|
---|---|
Authors: | Cappiello, Lorenzo |
Subject: | Intertemporal CAPM | business cycle | asymmetric multivariate GARCH-in-Mean | regime shifts |
-
The Marcoeconomic Effects of Oil Price, Credit Cycles, and the Sovereign Risk Premium
Luo, Kaisheng, (2020)
-
Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities
Kizys, Renatas, (2006)
-
Business-cycle consumption risk and asset prices
Bandi, Federico M., (2020)
- More ...
-
Asymmetric dynamics in the correlations of global equity and bond returns
Sheppard, Kevin, (2003)
-
Measuring market and inflation risk premia in France and in Germany
Cappiello, Lorenzo, (2005)
-
Measuring comovements by regression quantiles
Cappiello, Lorenzo, (2005)
- More ...