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| Author: | Engsted, T. Tanggaard, C. |
| Title: | The Danish stock and bond markets: comovement, return predictability and variance decomposition |
| Journal: | Journal of Empirical Finance
2001 : JUL, VOL. 8:3, p. 243-271 |
| Index terms: | Stock markets Bond markets Stock markets Denmark |
| Freeterms: | VAR model Present value relations Return variance decomposition Bias-correction Bootstrapping |
| Language: | eng |
| Abstract: | The paper analyzes the joint behaviour of Danish stock and bond markets over the period 1922-1996. The authors apply the same basic VAR methodologies as those developed by Shiller and Beltratti and Campbell and Ammer, but modify the methodologies in several ways. |
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