haku: @author Chan, K. / yhteensä: 12
viite: 8 / 12
| Tekijä: | Chan, K. Wu, H. |
| Otsikko: | Another look on bond market seasonality: a note |
| Lehti: | Journal of Banking and Finance
1995 : SEP, VOL. 19:6, p. 1047-1054 |
| Asiasana: | BOND MARKETS BONDS BUSINESS CYCLES |
| Kieli: | eng |
| Tiivistelmä: | 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. |
SCIMA