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Interest rates, stock returns and credit spreads : evidence from German Eurobonds

Wagner, Niklas F.; Hogan, Warren Pat; Batten, Jonathan A. - In: Economic notes : economic review of Banca Monte dei … 34 (2005) 1, pp. 35-50

Persistent link: https://www.econbiz.de/10002984476

Capital market efficiency and the relationship between equity returns, interest rates, and monetary aggregates in Australia

Hogan, W. P.; Sharpe, I. G.; Volker, P. A. - In: Journal of economics & business 34 (1982) 4, pp. 377-385

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The treasury note tender and volatility of Australian short-term interest rates

Sharpe, Ian G. - 1982

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Australian interest rates : a cross correlation analysis

Keating, G. R.; Sharpe, I. G. - 1981

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Interest Rates, Stock Returns and Credit Spreads : Evidence from German Eurobonds

Wagner, Niklas; Hogan, Warren P.; Batten, Jonathan A. - 2008

We investigate daily variations in credit spreads on investment-grade Deutschemark-denominated Eurobonds during the challenging 1994-1998 period. Empirical results from a Longstaff and Schwartz (1995) two-factor regression, extended for correlated spread changes and heteroskedasticity, indicate...

Persistent link: https://www.econbiz.de/10014063764

Interest Rates, Stock Returns, and Credit Spreads : Evidence from German Eurobonds

Wagner, Niklas; Hogan, Warren P.; Batten, Jonathan A. - 2008

We investigate daily variations in credit spreads on investment grade Deutschemark-denominated Eurobonds during the challenging 1994 to 1998 period. Empirical results from a Longstaff and Schwartz (1995) two-factor regression, extended for correlated spread changes and heteroskedasticity,...

Persistent link: https://www.econbiz.de/10014029259