Towards an asymmetric long run equilibrium between stock market uncertainty and the yield spread : a threshold vector error correction approach
Year of publication: |
January 2017
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Authors: | Evgenidis, Anastasios ; Tsagkanos, Athanasios ; Siriopoulos, Costas |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 39.2017, part A, p. 267-279
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Subject: | Uncertainty | Yield spread | Threshold cointegration | Time-varying causality | Kointegration | Cointegration | Zinsstruktur | Yield curve | Kapitaleinkommen | Capital income | Schätzung | Estimation | Kausalanalyse | Causality analysis | Risikoprämie | Risk premium | Aktienmarkt | Stock market |
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