Financial indicators signaling correlation changes in sovereign bond markets
Roberto A. De Santis, Michael Stein
| Year of publication: |
July 2015
|
|---|---|
| Authors: | De Santis, Roberto A. ; Stein, Michael |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 56.2015, p. 86-102
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| Subject: | Correlation breakdowns | Monetary policy | Regime changes | Government bonds | Multivariate GARCH | Öffentliche Anleihe | Public bond | Geldpolitik | Korrelation | Correlation | ARCH-Modell | ARCH model | Rentenmarkt | Bond market | Volatilität | Volatility | Wirtschaftsindikator | Economic indicator | Eurozone | Euro area |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.02.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011488597