search query: @author Wu, H. / total: 3
reference: 2 / 3
| Author: | Chan, K. Wu, H. |
| Title: | Another look on bond market seasonality: a note |
| Journal: | Journal of Banking and Finance
1995 : SEP, VOL. 19:6, p. 1047-1054 |
| Index terms: | BOND MARKETS BONDS BUSINESS CYCLES |
| Language: | eng |
| Abstract: | This note provides evidence that there exists business cycle effects on the monthly returns of long-term government bond and low-grade corporate bond. In addition, the results of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models suggest that the returns series exhibit significant autoregressive conditional heteroskedasticity. |
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