Modeling the Conditional Covariance between Stock and Bond Returns
Year of publication: |
2002-01-24
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Authors: | de Goeij, de Goeij, P. ; Marquering, Marquering, W.A. |
Institutions: | Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam |
Subject: | asymmetric effects | impact of news | multivariate GARCH | stock and bond market interaction | time-varying volatility |
Extent: | application/pdf |
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Series: | ERIM Report Series Research in Management. - ISSN 1566-5283. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:ems:eureri Number ERS-2002-11-F&A |
Classification: | C22 - Time-Series Models ; G11 - Portfolio Choice ; G12 - Asset Pricing ; G3 - Corporate Finance and Governance ; M - Business Administration and Business Economics; Marketing; Accounting |
Source: |
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Modeling the Conditional Covariance between Stock and Bond Returns
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