Financial market volatility, macroeconomic fundamentals and investor sentiment
Year of publication: |
July 2018
|
---|---|
Authors: | Chiu, Ching Wai Jeremy ; Harris, Richard D. F. ; Stoja, Evarist ; Chin, Michael |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 92.2018, p. 130-145
|
Subject: | Stock and bond market volatility | Two-factor volatility model | Macroeconomic fundamentals | Structural vector autoregression | Bayesian estimation | Volatilität | Volatility | VAR-Modell | VAR model | Börsenkurs | Share price | Finanzmarkt | Financial market | Schätzung | Estimation | Rentenmarkt | Bond market | Kapitaleinkommen | Capital income | Bayes-Statistik | Bayesian inference |
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