Macroeconomic announcement effects on the covariance structure of government bond returns

Journal of Empirical Finance

Volumn 7, Issue 5, 2000, Pages 479-507

  Christiansen, Charlotte ^a  

^a AARHUS SCHOOL OF BUSINESS   (Denmark)

Author keywords

C32; Constant conditional correlations model; Covariance; G12; Government bonds; Macroeconomic announcements; Multivariate GARCH

Indexed keywords

EID: 0010637514     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(00)00023-2     Document Type: Article

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