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Why do volatilities sometimes move together?

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  • Anthony P. Rodrigues

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Suggested Citation

  • Anthony P. Rodrigues, 1995. "Why do volatilities sometimes move together?," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages 123-146.
    • Handle: RePEc:fip:fedgpr:y:1995:p:123-146
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    Cited by:

    1. John Ammer, 1996. "Macroeconomic state variables as determinants of asset price covariances," International Finance Discussion Papers 553, Board of Governors of the Federal Reserve System (U.S.).

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    Keywords

    Bonds; Risk; Econometric models;
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