Financial crises and the dynamic linkages between stock and bond returns
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More about this item
Keywords
Bond prices; Financial crisis; Stock prices; Time-varying GARCH models; Volatility spillovers;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2017-07-09 (Financial Markets)
- NEP-RMG-2017-07-09 (Risk Management)
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