Volatility clustering in real interest rates Theory and evidence

Journal of Monetary Economics

Volumn 41, Issue 3, 1998, Pages 431-453

  Haan, Wouter J Den ^a,b   Spear, Scott A ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Autoregressive conditional heteroskedasticity; E43; Financial frictions; G12; Real interest rates; Volatility clustering

Indexed keywords

EID: 0038528986     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-3932(98)00004-X     Document Type: Article

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