The paper investigates volatility spillover from US and aggregate European asset markets into European national asset markets. A main contribution is that bond and equity volatilities are analyzed simultaneously. A new model belonging to the 'volatilityspillover' family is suggested: The...

We investigate the effects of macroeconomic announcements on the realized correlation between bond and stock returns. Our results deliver insights into the dominating drivers of bond-stock comovements. We find that it is not so much the surprise component of the announcement, but the mere fact...

Like the stock market, the human capital market consists of a wide range of assets, i.e. educations. Each <p> young individual chooses the educational asset that matches his preferred combination of risk and return in terms of <p> future income. A unique register-based data set with exact information...</p></p>

This paper examines the relationship between interest-rate volatility and the shape of the yield curve. The yield curve is parsimoniously described by its level, slope, and curvature. The level, the slope and the curvature are analyzed within a trivariate heteroskedastic model, where the...

A unique data set enables us to test the hypothesis that more economists than otherwise identical investors hold stocks due to informational advantages. We confirm that economists have a significantly higher probability of participating in the stock market than investors with any other...

We analyze volatility spillover from the US and aggregate European bond markets into individual European bond markets using a GARCH volatility-spillover model. We find strong statistical evidence of volatility-spillover e ffects from both the US and Europe into the individual bond markets.For...

In this paper we analyze the empirical properties of the volatility implied in options on the 13-week US Treasury bill using both ITM, ATM, and OTM options. This market has not been studied previously. Moreover, these options are interesting because they are identical to options written on...