Stock and bond market interactions with level and asymmetry dynamics: An out-of-sample application

Journal of Empirical Finance

Volumn 16, Issue 2, 2009, Pages 318-329

  de Goeij, Peter ^a   Marquering, Wessel ^b  

^a TILBURG UNIVERSITY   (Netherlands)

^b ERASMUS UNIVERSITY   (Netherlands)

Author keywords

Asymmetric volatility; Level effect; Stock and bond market interaction; Time varying covariances

Indexed keywords

EID: 59449084222     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2008.09.001     Document Type: Article

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