Asymmetric dynamics in the correlations of global equity and bond returns:
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Frankfurt am Main
Europ. Central Bank
2003
|
| Series: | Working paper series / European Central Bank
204 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 65 S. graph. Darst. |
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| 100 | 1 | |a Cappiello, Lorenzo |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Asymmetric dynamics in the correlations of global equity and bond returns |c by Lorenzo Cappiello, Robert F. Engle and Kevin Sheppard |
| 264 | 1 | |a Frankfurt am Main |b Europ. Central Bank |c 2003 | |
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Record in the Search Index
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| adam_text |
CONTENTS
ABSTRACT
4
NON-TECHNICAL
SUMMARY
5
I.
INTRODUCTION
7
II.
CONDITIONAL
COVARIANCE
LITERATURE
10
III.
ECONOMETRIC
METHODOLOGY
12
IV
DATA
1
6
V
EMPIRICAL
RESULTS
20
V.
I
SPECIFICATION
TESTING
22
V2
VOLATILITY
DYNAMICS
AND
LINKAGES
24
V.3
CORRELATION
DYNAMICS
25
VI.
CONCLUSION
28
APPENDIX
A:
COUNTRIES
SELECTED
3
1
APPENDIX
B:
EXACT
SPECIFICATIONS
32
BIBLIOGRAPHY
35
TABLES
&
FIGURES
38
EUROPEAN
CENTRAL
BANK
WORKING
PAPER
SERIES
60 |
| any_adam_object | 1 |
| author | Cappiello, Lorenzo Engle, Robert F. 1942- Sheppard, Kevin |
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| indexdate | 2025-02-18T11:01:31Z |
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| language | English |
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| physical | 65 S. graph. Darst. |
| publishDate | 2003 |
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| spelling | Cappiello, Lorenzo Verfasser aut Asymmetric dynamics in the correlations of global equity and bond returns by Lorenzo Cappiello, Robert F. Engle and Kevin Sheppard Frankfurt am Main Europ. Central Bank 2003 65 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Working paper series / European Central Bank 204 Aandelen gtt Obligaties gtt Korrelation (DE-588)4165343-9 gnd rswk-swf Internationaler Kreditmarkt (DE-588)4120506-6 gnd rswk-swf ARCH-Prozess (DE-588)4346437-3 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Internationaler Kreditmarkt (DE-588)4120506-6 s Volatilität (DE-588)4268390-7 s Korrelation (DE-588)4165343-9 s ARCH-Prozess (DE-588)4346437-3 s DE-604 Engle, Robert F. 1942- Verfasser (DE-588)128388528 aut Sheppard, Kevin Verfasser aut European Central Bank Working paper series 204 (DE-604)BV012681744 204 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010225612&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Cappiello, Lorenzo Engle, Robert F. 1942- Sheppard, Kevin Asymmetric dynamics in the correlations of global equity and bond returns Aandelen gtt Obligaties gtt Korrelation (DE-588)4165343-9 gnd Internationaler Kreditmarkt (DE-588)4120506-6 gnd ARCH-Prozess (DE-588)4346437-3 gnd Volatilität (DE-588)4268390-7 gnd |
| subject_GND | (DE-588)4165343-9 (DE-588)4120506-6 (DE-588)4346437-3 (DE-588)4268390-7 |
| title | Asymmetric dynamics in the correlations of global equity and bond returns |
| title_auth | Asymmetric dynamics in the correlations of global equity and bond returns |
| title_exact_search | Asymmetric dynamics in the correlations of global equity and bond returns |
| title_full | Asymmetric dynamics in the correlations of global equity and bond returns by Lorenzo Cappiello, Robert F. Engle and Kevin Sheppard |
| title_fullStr | Asymmetric dynamics in the correlations of global equity and bond returns by Lorenzo Cappiello, Robert F. Engle and Kevin Sheppard |
| title_full_unstemmed | Asymmetric dynamics in the correlations of global equity and bond returns by Lorenzo Cappiello, Robert F. Engle and Kevin Sheppard |
| title_short | Asymmetric dynamics in the correlations of global equity and bond returns |
| title_sort | asymmetric dynamics in the correlations of global equity and bond returns |
| topic | Aandelen gtt Obligaties gtt Korrelation (DE-588)4165343-9 gnd Internationaler Kreditmarkt (DE-588)4120506-6 gnd ARCH-Prozess (DE-588)4346437-3 gnd Volatilität (DE-588)4268390-7 gnd |
| topic_facet | Aandelen Obligaties Korrelation Internationaler Kreditmarkt ARCH-Prozess Volatilität |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010225612&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV012681744 |
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