Do Fixed Income Securities Also Show Asymmetric Effects in Conditional Second Moments?
| Year of publication: |
2000
|
|---|---|
| Authors: | Cappiello, Lorenzo |
| Publisher: |
International Center for Financial Asset Management and Engineering (FAME) <Genf> |
| Subject: | Capital-Asset-Pricing-Modell | Volatilität | Bewertung | Multivariate Analyse | Risikoaversion | Internationalisierung | internatinalization | Festverzinsliches Wertpapier | Konjunkturzyklus |
- 1. Introduction: Empirical regularties and research goals
- 2. The intertemporal Capital-Asset-Pricing-Model
- 3. Data diagnosis
- 4. Empirical methods
- 5. Empirical results
- 6. Summary of results and conclusions
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