Effects of macroeconomic uncertainty on the stock and bond markets
Hossein Asgharian, Charlotte Christiansen, Ai Jun Hou
| Year of publication: |
May 2015
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|---|---|
| Authors: | Asgharian, Hossein ; Christiansen, Charlotte ; Hou, Ai Jun |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 13.2015, p. 10-16
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| Subject: | DCC-MIDAS model | GARCH-MIDAS model | Macroeconomic uncertainty index | Stock-bond correlation | Stock volatility | Bond volatility | Rentenmarkt | Bond market | Volatilität | Volatility | Konjunktur | Business cycle | Risiko | Risk | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Korrelation | Correlation | Anleihe | Bond | VAR-Modell | VAR model | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2015.03.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011552317