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Persistent link: https://www.econbiz.de/10009581731
We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S&P500, US corporate bonds, and their real estate counterparts (REITs and CMBS) from 1999 to 2008. We document, for the first time, evidence for asymmetric volatilities and...
Persistent link: https://www.econbiz.de/10013139729
We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S&P500, US corporate bonds, and their real estate counterparts (REITs and CMBS) from 1999 to 2008. We document, for the first time, evidence for asymmetric volatilities and...
Persistent link: https://www.econbiz.de/10013101365
Persistent link: https://www.econbiz.de/10009991559