Bidirectional volatility transmission between stocks and bond in East Asia : the quantile estimates based on wavelets
Dejan Živkov, Jelena Kovačević, Biljana Stankov and Zoran Stefanović
| Year of publication: |
2023
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| Authors: | Živkov, Dejan ; Kovačević, Jelena ; Stankov, Biljana ; Stefanović, Zoran |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 27.2023, 1, p. 49-65
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| Subject: | East Asian emerging countries | GARCH | quantile regression | stocks and bonds | volatility transmission | wavelet | Volatilität | Volatility | Ostasien | East Asia | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Regressionsanalyse | Regression analysis | Rentenmarkt | Bond market | Zustandsraummodell | State space model | Schätzung | Estimation | Börsenkurs | Share price | Anleihe | Bond | Schwellenländer | Emerging economies | Asien | Asia |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2020-0113 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014288820