The impact of regime-switching behaviour of price volatility on efficiency of the US sovereign debt market
Omar Masood, Bora Aktan, Beata Gavurová, Bachar Fakhry, Manuela Tvaronavičienė and Raimonda Martinkutė-Kaulienė
| Year of publication: |
2017
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|---|---|
| Authors: | Masood, Omar ; Aktan, Bora ; Gavurová, Beata ; Fakhry, Bachar ; Tvaronavičienė, Manuela ; Martinkutė-Kaulienė, Raimonda |
| Published in: |
Economic research. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1331-677X, ZDB-ID 2171828-3. - Vol. 30.2017, 1,2, p. 1865-1881
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| Subject: | Price volatility | regime-switching behaviour | switching-autoregressive conditional heteroskedasticity (SWARCH) | sovereign debt market | Volatilität | Volatility | Öffentliche Schulden | Public debt | Öffentliche Anleihe | Public bond | Börsenkurs | Share price | Schuldenkrise | Debt crisis | Rentenmarkt | Bond market | ARCH-Modell | ARCH model | Eurozone | Euro area | Markov-Kette | Markov chain | Effizienzmarkthypothese | Efficient market hypothesis | Finanzmarkt | Financial market |
| 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/10012225200