Decomposing European bond and equity volatility

Research, Conference object English OPEN
Christiansen, Charlotte;
(2004)
  • Publisher: Aarhus School of Business, Department of Accounting, Finance and Logistics
  • Subject: GARCH | European Asset Markets | International Finance | Volatility Spillover

The paper investigates volatility spillover from US and aggregate European asset markets into European national asset markets. A main contribution is that bond and equity volatilities are analyzed simultaneously. A new model belonging to the "volatilityspillover" family... View more
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