Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
create a website

The economic value of volatility transmission between the stock and bond markets. (2008). Torro, Hipolit ; Chuliá, Helena ; Chulia, Helena.
In: Journal of Futures Markets.
RePEc:wly:jfutmk:v:28:y:2008:i:11:p:1066-1094.

Full description at Econpapers || Download paper

Cited: 9

Citations received by this document

Cites: 60

References cited by this document

Cocites: 46

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks. (2024). Sun, Yan-Lin ; Chen, Bin-Xia.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001543.

    Full description at Econpapers || Download paper

  2. Dynamic connectedness of green bond with financial markets of European countries under OECD economies. (2023). Ashok, Shruti ; Mishra, Nandita ; Yadav, Miklesh.
    In: Economic Change and Restructuring.
    RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09430-3.

    Full description at Econpapers || Download paper

  3. Volatility Spillover Effects among Gold, Oil and Stock Markets: Empirical Evidence from the G7 Countries. (2022). Viswanathan, T ; Kannadas, S.
    In: Economic Studies journal.
    RePEc:bas:econst:y:2022:i:4:p:18-32.

    Full description at Econpapers || Download paper

  4. .

    Full description at Econpapers || Download paper

  5. Volatility Spillovers between Equity and Green Bond Markets. (2020). Park, Ji Yeon ; Ryu, Doojin.
    In: Sustainability.
    RePEc:gam:jsusta:v:12:y:2020:i:9:p:3722-:d:353863.

    Full description at Econpapers || Download paper

  6. Real estates information and volatility links with stock, bond and money markets. (2018). Mi, Lin ; Hodgson, Allan.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:58:y:2018:i:s1:p:465-491.

    Full description at Econpapers || Download paper

  7. Financial crises and the dynamic linkages between stock and bond returns. (2017). Ali, Faek Menla ; Eraslan, Sercan.
    In: Discussion Papers.
    RePEc:zbw:bubdps:172017.

    Full description at Econpapers || Download paper

  8. Is there any significant difference in global volatility of and correlation between shari’ah-compliant (Islamic) equities and sukuk ?. (2017). Masih, Abul ; Abdullah, Mace.
    In: MPRA Paper.
    RePEc:pra:mprapa:103729.

    Full description at Econpapers || Download paper

  9. Flight-to-quality or contagion effect? An analysis from the Turkish and the US financial markets. (2015). Gencer, Hatice Gaye.
    In: Financial Theory and Practice.
    RePEc:ipf:finteo:v:39:y:2015:i:3:p:325-340.

    Full description at Econpapers || Download paper

References

References cited by this document

    References contributed by pfo235-4977

  1. Andersen, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2005). Real-time price discovery in stock, bond and foreign exchange markets (NBER Working Paper No. 11312). Arshanapalli, B., & Doukas, J. (1997). The linkages of the S&P500 stock index and S&P500 stock index futures prices during October 1987. Journal of Economics and Business, 49, 253–266.

  2. Balduzzi, P., Elton, E. J., & Green, T. C. (2001). Economic news and the yield curve: Evidence from the U.S. treasury market. Journal of Financial and Quantitative Analysis, 36, 523, 543.
    Paper not yet in RePEc: Add citation now
  3. Bekaert, G., & Wu, G. (2000). Asymmetric volatility and risk in equity markets. The Review of Financial Studies, 13, 1–42.

  4. Bernanke, B. (1986). Alternative explanations of the money–income correlation. Carnegie-Rochester Conference Series on Public Policy No. 25 (pp. 49–100).
    Paper not yet in RePEc: Add citation now
  5. Bernanke, B., & Kuttner, K. N. (2005). What explains the stock market’s reaction to federal reserve policy? The Journal of Finance, 60, 1221–1257.

  6. Black, F. (1976). Studies of stock price volatility changes. Proceedings of the 1976Meetings of the American Statistical Association, Business and Economical Statistics Section (pp. 177–181).
    Paper not yet in RePEc: Add citation now
  7. Bollerslev, T. (1990). Modelling the coherence in short-run nominal rates: A multivariate generalized ARCH approach. Review of Economics and Statistics, 72, 498–505.

  8. Bollerslev, T., & Wooldridge, J. M. (1992). Quasi-maximum likelihood estimation andi nference in dynamic models with time-varying covariances. Econometric Review,11, 143–172.
    Paper not yet in RePEc: Add citation now
  9. Bollerslev, T., Engle, R. F., & Wooldridge, J. M. (1988). A capital asset pricing model with time varying covariances. Journal of Political Economy, 96, 116–131.

  10. Brailsford, T. J. (1995). An empirical test of the effect of the return interval on conditional volatility. Applied Economic Letters, 2, 156–158.

  11. Braun, P. A., Nelson, D. B., & Sunier, A. M. (1995). Good news, bad news, volatility and betas. The Journal of Finance, 5, 1575–1603.

  12. Brenner, R. J., Harjes, R. H., & Kroner, K. F. (1996). Another look at models of the short-term interest. Journal of Financial and Quantitative Analysis, 31, 85–107.

  13. Campbell, J. Y., & Hentschel, L. (1992). No news is good news: An asymmetric model of changing volatility in stock returns. Journal of Financial Economics, 31, 281–318.

  14. Cappiello, L., Engle, R. F., & Sheppard, K. (2006). Asymmetric dynamics in the correlations of global equity and bond returns. Journal of Financial Econometrics, 4,537–572.

  15. Cheung, Y. W., & Ng, L. K. (1996). A causality-in-variance test and its application to financial market prices. Journal of Financial Economics, 72, 33–48.

  16. Christiansen, C. (2007). Volatility spillover effects in European bond markets. European Financial Management, 13, 923–948.

  17. Christie, A. A. (1982). The stochastic behaviour of common stock variances: Value, leverage and interest rate effects. Journal of Financial Economics, 10, 407–432.

  18. Connolly, R., Stivers, C., & Sun, L. (2005). Stock market uncertainty and the stock–bond return relation. Journal of Financial and Quantitative Analysis, 40, 161–193.

  19. De Goeij, P., & Marquering, W. (2004). Modeling the conditional covariance between stock and bond returns: A multivariate GARCH approach. Journal of Financial Econometrics, 2, 531–564.

  20. Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratios statistics for autoregressive time series with a unit root. Econometrica, 49, 1057–1072.

  21. Diebold, F., & Mariano, R. S. (1995). Comparing predictive accuracy. Journal of Business and Economic Statistics, 13, 253–263.

  22. Ederington, L. H., & Lee, J. H. (1993). How markets process information: News releases and volatility. The Journal of Finance, 48, 1161–1191.

  23. Engle, R. F. (2002). Dynamic conditional correlation—A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20, 339–350.

  24. Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized arch. Econometric Theory, 11, 122–150.

  25. Fleming, J., Kirby, C., & Ostdiek, B. (1998). Information and volatility linkages in the stock, bond and money markets. Journal of Financial Economics, 49, 111–137.

  26. Fleming, J., Kirby, C., & Ostdiek, B. (2001). The economic value of volatility timing. The Journal of Finance, 56, 329–352.

  27. Franses, P. H., van Ieperen, R., Martens, M., & Menkveld, B. (1997). Volatility transmission and patterns in Bund futures. Journal of Financial Research, 20, 459–482.

  28. French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of Financial Economics, 19, 3–29.

  29. Giot, P., & Petitjean, M. (2005). Dynamic asset allocation between stocks and bonds using the bond–equity yield ratio. CORE Discussion Paper 10.

  30. Glosten, L. R., Jagannathan, R., & Runkel, D. E. (1993). On the relation between the expected value and volatility of nominal excess return on stocks. The Journal of Finance, 48, 1779–1801.

  31. Gonçalves, S., & Guidolin, M. (2006). Predictable dynamics in the S&P 500 index options implied volatility surface. Journal of Business, 79, 1591–1635.

  32. Green, W. G. (1998). Econometric analysis (3rd ed.). Englewood Cliffs, NJ: Prentice-Hall Inc.
    Paper not yet in RePEc: Add citation now
  33. Griffin, J. M., Nardari, F., & Stulz, R. M. (2007). Do investors trade more when stocks have performed well? Evidence from 46 countries. The Review of Financial Studies, 20, 905–951.

  34. Guo, D. (2000). Dynamic volatility trading strategies in the currency option market using stochastic volatility forecasts. Review of Derivatives Research, 4, 133–154.

  35. Hamao, Y., Masulis, R. W., & Ng, V. (1990). Correlations in price changes and volatility across international stock markets. The Review of Financial Studies, 3,281–307.

  36. Hamilton, J. D. (1994). Time series analysis. Princeton, NJ: Princeton University Press.
    Paper not yet in RePEc: Add citation now
  37. Harris, R. D. F., & Pisedtasalasai, A. (2006). Return and volatility spillovers between large and small stocks in the UK. Journal of Business Finance and Accounting, 33,1556–1571.

  38. Harvey, C. R., & Huang, R. D. (1991). Volatility in the foreign currency futures market. The Review of Financial Studies, 4, 543–569.

  39. Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12, 231–254.

  40. Karolyi, G. A. (1995). A multivariate GARCH model of international transmissions of stock returns and volatility: The case of the United States and Canada. Journal of Business and Economic Statistics, 13, 11–25.

  41. Karolyi, G. A., & Stulz, R. M. (1996). Why do markets move together? An investigation of US–Japan stock return comovements. The Journal of Finance, 51, 951–986.

  42. Kearney, C., & Patton, A. J. (2000) Multivariate GARCH modeling of exchange rate volatility transmission in the European monetary system. Financial Review, 35,29–48.

  43. Kho, B. C. (1996). Time-varying risk premia, volatility, and technical trading rule prof-its: Evidence from foreign currency futures markets. Journal of Financial Economics, 41, 249–290.

  44. Kim, S., In, F., & Viney, C. (2001). Modelling linkages between Australian financial futures markets. Australian Journal of Management, 26, 19–34.

  45. Kim, S., Moshirian, F., & Wu, E. (2006). Evolution of international stock and bond market integration: Influence of the European Monetary Union. Journal of Banking and Finance, 30, 1507–1534.

  46. Kroner, K. F., & Ng, V. K. (1998). Modelling asymmetric comovements of asset returns.The Review of Financial Studies, 11, 817–844.
    Paper not yet in RePEc: Add citation now
  47. MacKinnon, J. G. (1991). Critical values for cointegration tests. In R. F. Engle, & C. W. J. Granger (Eds.), Long-run economic relationships: Readings in cointegration. Oxford: Oxford University Press.

  48. Ng, A. (2000). Volatility spillover effects from Japan and the US to the Pacific-Basin. Journal of International Money and Finance, 19, 207–233.

  49. Pardo, A., & Torró, H. (2007). Trading with asymmetric volatility spillovers. Journal of Business Finance and Accounting, 34, 1548–1568.

  50. Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrica, 75, 335–346.
    Paper not yet in RePEc: Add citation now
  51. Pindyck, R. S. (1984). Risk, inflation and the stock market. American Economic Review, 74, 334–351.

  52. Ross, S. A. (1989). Information and volatility: The no-arbitrage martingale approach to timing and resolution irrelevancy. The Journal of Finance, 44, 1–17.

  53. Scalia, A. (1998). Information transmission and causality in the Italian treasury bond market. Journal of Empirical Finance, 5, 361–384.

  54. Schwert, G. W. (1989). Why does stock market volatility change over time? The Journal of Finance, 44, 1115–1153.

  55. Scruggs, J. T., & Glabadanidis, P. (2003). Risk premia and the dynamic covariance between stock and bond returns. Journal of Financial and Quantitative Analysis,38, 295–316.

  56. Sims, C. A. (1986). Are forecasting models usable for policy analysis? Federal Reserve Bank of Minneapolis Quarterly Review, 10, 2–16.

  57. Stoll, H. R., & Whaley, R. E. (1990). The dynamics of stock index and stock index futures returns. Journal of Financial and Quantitative Analysis, 25, 441–468.

  58. Upper, C., & Werner, T. (2004). Time variation in the tail behavior of Bund futures returns. The Journal of Futures Markets, 24, 387–398.

  59. Wooldridge, J. M. (1990). A unified approach to robust, regression-based specification tests. Econometric Theory, 6, 17–43.

  60. Wu, G. (2001). The determinants of asymmetric volatility. The Review of Financial Studies, 14, 837–859.

Cocites

Documents in RePEc which have cited the same bibliography

  1. The pricing effects of ambiguous private information. (2017). Ganguli, Jayant ; Condie, Scott .
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:172:y:2017:i:c:p:512-557.

    Full description at Econpapers || Download paper

  2. What Drives European Football Clubs’ Stock Returns and Volatility?. (2016). Gimet, Celine ; Montchaud, Sandra .
    In: International Journal of the Economics of Business.
    RePEc:taf:ijecbs:v:23:y:2016:i:3:p:351-390.

    Full description at Econpapers || Download paper

  3. The role of FOMC minutes for US asset prices before and after the 2008 crisis: Evidence from GARCH volatility modeling. (2015). Apergis, Nicholas.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:55:y:2015:i:c:p:100-107.

    Full description at Econpapers || Download paper

  4. Macro News and Commodity Returns. (2015). Spagnolo, Nicola ; Caporale, Guglielmo Maria.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1508.

    Full description at Econpapers || Download paper

  5. Macro News and Commodity Returns. (2015). Spagnolo, Nicola ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_5551.

    Full description at Econpapers || Download paper

  6. Macro News and Bond Yield Spreads in the Euro Area. (2014). Spagnolo, Nicola ; Caporale, Guglielmo Maria.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1413.

    Full description at Econpapers || Download paper

  7. Macro News and Bond Yield Spreads in the Euro Area. (2014). Spagnolo, Nicola ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_5008.

    Full description at Econpapers || Download paper

  8. Volatility Transmission between Islamic and Conventional Equity Markets: Evidence from Causality-in-Variance Test. (2013). Nazlioglu, Saban ; Hammoudeh, Shawkat ; GUPTA, RANGAN.
    In: Working Papers.
    RePEc:pre:wpaper:201384.

    Full description at Econpapers || Download paper

  9. The pricing effects of ambiguous private information. (2012). Ganguli, Jayant ; Condie, Scott .
    In: Economics Discussion Papers.
    RePEc:esx:essedp:720.

    Full description at Econpapers || Download paper

  10. The pricing effects of ambiguous private information. (2012). Condie, Scott .
    In: Economics Discussion Papers.
    RePEc:esx:essedp:5631.

    Full description at Econpapers || Download paper

  11. Bond risk, bond return volatility, and the term structure of interest rates. (2012). Viceira, Luis.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:28:y:2012:i:1:p:97-117.

    Full description at Econpapers || Download paper

  12. Exchange rate response to macronews: Through the lens of microstructure. (2011). Savaser, Tanseli.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:21:y:2011:i:1:p:107-126.

    Full description at Econpapers || Download paper

  13. Realized jumps on financial markets and predicting credit spreads. (2011). Zhou, Hao ; Tauchen, George.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:102-118.

    Full description at Econpapers || Download paper

  14. Effects of Japanese macroeconomic statistic announcements on the dollar/yen exchange rate: High-resolution picture. (2010). Ito, Takatoshi ; Hashimoto, Yuko .
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:24:y:2010:i:3:p:334-354.

    Full description at Econpapers || Download paper

  15. Evaluating Communication Strategies for Public Agencies: Transparency, Opacity, and Secrecy. (2009). Lindner, Axel.
    In: The B.E. Journal of Macroeconomics.
    RePEc:bpj:bejmac:v:9:y:2009:i:1:n:29.

    Full description at Econpapers || Download paper

  16. Evaluating communication strategies for public agencies: transparency, opacity, and secrecy. (2008). Lindner, Axel.
    In: IWH Discussion Papers.
    RePEc:zbw:iwhdps:iwh-8-08.

    Full description at Econpapers || Download paper

  17. The economic value of volatility transmission between the stock and bond markets. (2008). Torro, Hipolit ; Chuliá, Helena ; Chulia, Helena.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:28:y:2008:i:11:p:1066-1094.

    Full description at Econpapers || Download paper

  18. Explaining Movements in the NZ Dollar - Central Bank Communication and the Surprise Element in Monetary Policy?. (2008). Siklos, Pierre ; Karagedikli, Ozer.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2008/02.

    Full description at Econpapers || Download paper

  19. Some benefits of monetary policy transparency in New Zealand. (2008). Karagedikli, Ozer ; Drew, Aaron.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2008/01.

    Full description at Econpapers || Download paper

  20. Policy words and policy deeds: the ECB and the euro. (2008). Siklos, Pierre ; Bohl, Martin T..
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:13:y:2008:i:3:p:247-265.

    Full description at Econpapers || Download paper

  21. Stale information, shocks and volatility. (2007). Gropp, Reint ; Kadareija, Arjan.
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:5499.

    Full description at Econpapers || Download paper

  22. Exchange Rate Response to Macro News: Through the Lens of Microstructure. (2007). Savaser, Tanseli.
    In: Department of Economics Working Papers.
    RePEc:wil:wileco:2007-02.

    Full description at Econpapers || Download paper

  23. Policy Words and Policy Deeds: The ECB and the Euro. (2007). Siklos, Pierre ; Bohl, Martin T.
    In: Working Paper series.
    RePEc:rim:rimwps:35_07.

    Full description at Econpapers || Download paper

  24. Policy Words and Policy Deeds: The ECB and the Euro. (2007). Bohl, Martin T..
    In: Working Paper series.
    RePEc:rim:rimwps:35-07.

    Full description at Econpapers || Download paper

  25. Why do markets react badly to good news? Evidence from Fed Funds Futures. (2007). .
    In: MPRA Paper.
    RePEc:pra:mprapa:1708.

    Full description at Econpapers || Download paper

  26. No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications. (2007). Bollerslev, Tim ; Andersen, Torben ; Dobrev, Dobrislav.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12963.

    Full description at Econpapers || Download paper

  27. The Ties that Bind; Measuring International Bond Spillovers Using Inflation-Indexed Bond Yields. (2007). Bayoumi, Tamim ; Swiston, Andrew J.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2007/128.

    Full description at Econpapers || Download paper

  28. Volatility and Causality in Asia Pacific Financial Markets. (2007). Weber, Enzo.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2007-004.

    Full description at Econpapers || Download paper

  29. Temperant portfolio choice and background risk: evidence from France. (2007). Oliver, Xisco ; Calvo Pardo, Hector.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00588069.

    Full description at Econpapers || Download paper

  30. Information shares in the U.S. treasury market. (2007). Neely, Christopher ; Mizrach, Bruce.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-070.

    Full description at Econpapers || Download paper

  31. Some Benefits of Monetary-Policy Transparency in New Zealand. (2007). Karagedikli, Ozer ; Drew, Aaron.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:57:y:2007:i:11-12:p:521-539.

    Full description at Econpapers || Download paper

  32. International capital asset pricing: Evidence from options. (2007). Wu, Liuren ; Mo, Henry.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:4:p:465-498.

    Full description at Econpapers || Download paper

  33. MACROECONOMIC NEWS AND STOCK MARKET CALENDAR AND WEATHER ANOMALIES. (2007). Gerlach, Jeffrey R..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:30:y:2007:i:2:p:283-300.

    Full description at Econpapers || Download paper

  34. Policy Words and Policy Deeds: The ECB and the Euro. (2006). Siklos, Pierre.
    In: Working Papers.
    RePEc:wlu:wpaper:eg0050.

    Full description at Econpapers || Download paper

  35. Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data. (2006). Oikarinen, Elias.
    In: Discussion Papers.
    RePEc:rif:dpaper:1004.

    Full description at Econpapers || Download paper

  36. Realized jumps on financial markets and predicting credit spreads. (2006). Zhou, Hao ; Tauchen, George.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2006-35.

    Full description at Econpapers || Download paper

  37. Stale information, shocks and volatility. (2006). Gropp, Reint ; Kadareja, Arjan .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006686.

    Full description at Econpapers || Download paper

  38. Which news moves the euro area bond market?. (2006). Sebestyén, Szabolcs ; Sebestyen, Szabolcs ; Hansen, Lars Jul ; Andersson, Magnus.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006631.

    Full description at Econpapers || Download paper

  39. Global financial transmission of monetary policy shocks. (2006). Fratzscher, Marcel ; Ehrmann, Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006616.

    Full description at Econpapers || Download paper

  40. Asymmetric Information in the Stock Market: Economic News and Co-movement. (2006). Vega, Clara ; Albuquerque, Rui.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5598.

    Full description at Econpapers || Download paper

  41. Global Financial Transmission of Monetary Policy Shocks. (2006). Fratzscher, Marcel ; Ehrmann, Michael.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1710.

    Full description at Econpapers || Download paper

  42. Policy words and policy deeds : the ECB and the euro. (2006). Siklos, Pierre ; Bohl, Martin .
    In: Research Discussion Papers.
    RePEc:bof:bofrdp:2006_002.

    Full description at Econpapers || Download paper

  43. Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11775.

    Full description at Econpapers || Download paper

  44. The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street. (2005). Van Nieuwerburgh, Stijn ; Lustig, Hanno.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11564.

    Full description at Econpapers || Download paper

  45. The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes. (2005). Rangel, Jose ; Gonzalo, Jesus ; Engle, Robert.
    In: Working Papers.
    RePEc:cnb:wpaper:2005/13.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-02 21:51:16 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.