Modelling asymmetric sovereign bond yield volatility with univariate GARCH models : evidence from India
Year of publication: |
2023
|
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Authors: | Lithin BM ; Chakraborty, Suman ; Iyer, Vishwanathan ; Nikhil MN ; Ledwani, Sanket |
Published in: |
Cogent economics & finance. - Abingdon : Taylor & Francis, ISSN 2332-2039, ZDB-ID 2773198-4. - Vol. 11.2023, 1, Art.-No. 2189589, p. 1-33
|
Subject: | COVID-19 | leverage | mean reversion | sovereign bond yield | symmetric GARCH | volatility | Volatilität | Volatility | ARCH-Modell | ARCH model | Öffentliche Anleihe | Public bond | Indien | India | Kapitaleinkommen | Capital income | Schätzung | Estimation | Rendite | Yield | Coronavirus |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1080/23322039.2023.2189589 [DOI] |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E44 - Financial Markets and the Macroeconomy ; G10 - General Financial Markets. General ; G17 - Financial Forecasting |
Source: | ECONIS - Online Catalogue of the ZBW |
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