Impact of TED spread, bond spread, and implied volatility on stock market returns, oil prices, home prices and exchange rates
Year of publication: |
2016
|
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Authors: | Dania, Akash ; Malhotra, Davinder Kumar |
Published in: |
International journal of bonds and derivatives. - Olney : Inderscience, ISSN 2050-2281, ZDB-ID 2765392-4. - Vol. 2.2016, 4, p. 329-343
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Subject: | TED spread | implied market volatility | credit yield spread | stock market returns | oil prices | home prices | exchange rates | GARCH | spillover effect | VAR | bond spread | stock markets | Zinsstruktur | Yield curve | Volatilität | Volatility | Ölpreis | Oil price | Börsenkurs | Share price | Wechselkurs | Exchange rate | Kapitaleinkommen | Capital income | Schätzung | Estimation | Risikoprämie | Risk premium |
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