Sökning: "Mean Spill-over Effects"

Hittade 1 uppsats innehållade orden Mean Spill-over Effects.

  1. 1. Volatility and Mean Spill-Over Effects in Asian Bond Markets

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Michael Bogdan; Hubert Warzynski; [2005]
    Nyckelord :GARCH; Mean Spill-over Effects; Asian Bond Markets; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : This paper empirically examines the existence of volatility and mean spill-over effects from the US and EMU bond markets into those of seven Asian countries. Using a GARCH framework to capture the first and second moments of spill-overs during the 1996-2003 period, our results provide strong support mainly for the existence of volatility spill-over effects, and then primarily from the US bond market. LÄS MER