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Volatility linkage of nominal and index-linked bond returns : a multivariate BEKK-GARCH approach

Benlagha, Noureddine - In: Review of economics & finance (2014) 4, pp. 49-60

Persistent link: https://www.econbiz.de/10010471998

Dependence structure between nominal and index-linked bond returns : a bivariate copula and DCC-GARCH approach

Benlagha, Noureddine - In: Applied economics 46 (2014) 31/33, pp. 3849-3860

Persistent link: https://www.econbiz.de/10010419885

Quantitative implications of indexed bonds in small open economies

Durdu, Ceyhun Bora - In: Journal of economic dynamics & control 33 (2009) 4, pp. 883-902

Persistent link: https://www.econbiz.de/10003844055

Inflation co-movement across countries in multi-maturity term structure : an arbitrage-free approach

Chen, Shi; Härdle, Wolfgang; Wang, Weining - 2015

Inflation expectation is acknowledged to be an important indicator for policy makers and financial investors. To capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage-free model across different countries in a...

Persistent link: https://www.econbiz.de/10011389060