Donzwa, Wilson; Gupta, Rangan; Wohar, Mark E. - In: Journal of central banking theory and practice 8 (2019) 3, pp. 39-50
This study employs the recently developed Lagrange multiplier-based causality-in-variance test by Hafner and Herwartz (2006), to determine the volatility spillovers between interest rates and stock returns for the US, the euro area, the UK, and Japan. The investigation pays careful attention to...
