Who poisons the pool? : time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets
Geoffrey M. Ngene, Yea Lee Kim, Jinghua Wang
| Year of publication: |
2019
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|---|---|
| Authors: | Ngene, Geoffrey M. ; Lee Kim, Yea ; Wang, Jinghua |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 81.2019, p. 136-147
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| Subject: | Asymmetric | EDCC | Investment | Nonlinear | Speculative | Volatility spillover | Volatilität | Volatility | Kausalanalyse | Causality analysis | Schätzung | Estimation | Spillover-Effekt | Spillover effect | Spekulation | Speculation | Rentenmarkt | Bond market | Nichtlineare Regression | Nonlinear regression | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2018.12.017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012201529