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Quantile time-frequency spillovers among green bonds, cryptocurrencies, and conventional financial markets

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Migiakis, Petros M.; Bekiris, Fivos V. - In: International review of financial analysis 18 (2009) 4, pp. 198-204

The relation between bond and equity returns serves as a proxy for estimating the premia investors' demand on their equity portfolio holdings and assessing the substitution effects between the two markets. With this in mind, we examine empirically the co-movements and the underlying information...

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Derivative prices from interest rate models : results for Canada, Hong Kong, and United States

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The effectiveness of interest-rate futures contracts for hedging Japanese bonds of different credit quality and duration

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The WPPSS mess, or "what's in a bond rating?" : a case study

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