Volatility linkage of nominal and index-linked bond returns : a multivariate BEKK-GARCH approach
Year of publication: |
2014
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Authors: | Benlagha, Noureddine |
Published in: |
Review of economics & finance. - Toronto : Better Advances Press, ISSN 1923-7529, ZDB-ID 2637191-1. - 2014, 4, p. 49-60
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Subject: | Index-linked bond | Liquidity risk | Volatility linkage | BEKK-GARCH | Co-persistence | Volatilität | Volatility | Indexanleihe | Theorie | Theory | Großbritannien | United Kingdom | Kapitaleinkommen | Capital income | Öffentliche Anleihe | Public bond |
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