Towards an asymmetric long run equilibrium between stock market uncertainty and the yield spread : a threshold vector error correction approach
Anastasios Evgenidis, Athanasios Tsagkanos, Costas Siriopoulos
| Year of publication: |
January 2017
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| Authors: | Evgenidis, Anastasios ; Tsagkanos, Athanasios ; Siriopoulos, Costas |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 39.2017, part A, p. 267-279
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| Subject: | Uncertainty | Yield spread | Threshold cointegration | Time-varying causality | Zinsstruktur | Yield curve | Kointegration | Cointegration | Kapitaleinkommen | Capital income | Schätzung | Estimation | Risiko | Risk | Risikoprämie | Risk premium |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2016.08.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011876475