search query: @author Hunter, D.M. / total: 2
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| Author: | Hunter, D.M. Simon, D.P. |
| Title: | A conditional assessment of the relationships between the major world bond markets |
| Journal: | European Financial Management
2005 : SEP, VOL. 11:4, p. 463-482 |
| Index terms: | Diversification Government bonds Volatility |
| Language: | eng |
| Abstract: | This article uses GARCH framework to explore the lead-lag relations and the conditional correlations between 10-year US government bond returns and their counterparts from the UK, Germany and Japan. It is found that the correlations between the US and other major bond market returns are time varying and are driven by changing macroeconomic and market conditions. It is also shown that the advantages of diversification across major government bond markets do not decrease during periods of extremely high bond market volatility or following extremely negative US and foreign bond returns. |
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