Novales, Alfonso; Nieto, Belén; Rubio, Gonzalo - Facultad de Ciencias Económicas y Empresariales, … - 2014
This paper analyzes the relationship between the volatility of corporate bond returns and standard financial and macroeconomic indicators reflecting the state of the economy. We employ the GARCHMIDAS multiplicative two-component model of volatility that distinguishes the short-term dynamics from...