Continuous and discrete time modelling of spillovers in equity and bond markets
Panagiotis Dontis-Charitos, Orla Gough, K. Ben Nowman and Sheeja Sivaprasad
| Year of publication: |
2013
|
|---|---|
| Authors: | Dontis-Charitos, Panagiotis ; Gough, Orla ; Nowman, Kalid Ben ; Sivaprasad, Sheeja |
| Published in: |
International journal of bonds and derivatives. - Olney : Inderscience, ISSN 2050-2281, ZDB-ID 2765392-4. - Vol. 1.2013, 1, p. 54-87
|
| Subject: | stock-bond spillovers | multivariate GARCH | gaussian estimation | time series | discrete time | equity | bonds | currency derivatives | continuous time | Rentenmarkt | Bond market | Spillover-Effekt | Spillover effect | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | ARCH-Modell | ARCH model | Anleihe | Bond | Stochastischer Prozess | Stochastic process | Finanzmarkt | Financial market | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010338909