Fuglesangs Alle 4
Aarhus V, DK 8210
Aarhus University - CREATES
in Total Papers Downloads
in Total Papers Citations
Multivariate GARCH-M,Short-Rate Volatility,Yield Curve Curvature,Yield Curve Shape, Yield Curve Slope
carry trade, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas
carry trades, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP7345.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
carry trade, factor model, smooth transition regression, time-varying betas
Realized volatility, Forecasting, Data-rich modeling, Bayesian model averaging, Model uncertainty
Realised volatility, Forecasting, Data-rich modeling, Bayesian model averaging, Model uncertainty
educational choice, efficient frontier, human capital investment, mean-variance
Bond-stock correlation, Macroeconomic announcements, Realized correlation, Realized volatility
Stock market participation, Bond market participation, Gender, Portfolio Choice
Euro Introduction, Government Bonds, Integration of Bond Markets, International Bond Markets, Volatility Spillover
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: eufm.
Interest rate variance, Regime switching, SWARCH, Yield curve, Yield curve slope
Investor Education, Portfolio Choice, Stock Market Participation
G11, G129, J24
European Asset Markets, Euro, GARCH, Integration of Financial Markets
Gender, Marriage and divorce, Stock market participation, Portfolio choice, Labor income risk sharing
File name: ECIN.
realized stock-bond correlation, smooth transition regressions, correlation regimes, VIX index
Heteroskedasticity effects, Level effects, Multivariate level-GARCH model, Two-factor term structure model
Foreign exchange rates, Risk-return trade-off, Realized volatility, Realized skewness, Value-at-risk, Financial crisis
Expectations Hypothesis, Forward Rate Curve, Long Maturity, Volatility
Realized stock-bond correlation, Quantile regressions, Macro-finance variables, Factor analysis
Bivariate short-rate model, International short rates, Level-ARCH model, Regime Switching
business cycles, forecasting, factor analysis, probit model, sentiment variables
Short term interest rate, Mean reversion, Extreme value, Nonlinearity
DCC-MIDAS model; Long-run correlation; Macro-finance variables; Stock-bond correlation
Integration, European government bond markets, European sovereign debt crisis, Financial crises, Factor models
European stock markets; Factor model; Macro-finance predictors; Markov switching model; Quantile regressions; Risk-return trade-off
Business Cycle, Recessions, Yield spread, Probit Model
Financial market integration, Comovement, Emerging markets, EU enlargement, EU Member States, Extreme returns, New EU Member States, Stock markets
Idiosyncratic volatility puzzle; Macro-finance predictors; Factor analysis; Business cycle
DCC-MIDAS model; GARCH-MIDAS model; Macroeconomic uncertainty index; Stock-bond correlation; Stock volatility; Bond volatility
European stock markets, European bond markets, Extreme returns, Financial crisis, Integration of financial markets
Business cycles, extreme returns, real estate returns, metro areas
bond betas; complete subset regressions; corporate bonds; macro-finance variables; model confidence set
economic policy uncertainty index; mixed data sampling; stock market correlation; stock market volatility; asymmetry
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 1.185 seconds