haku: @indexterm bond markets / yhteensä: 247
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Tekijä: | Engsted, T. Tanggaard, C. |
Otsikko: | The Danish stock and bond markets: comovement, return predictability and variance decomposition |
Lehti: | Journal of Empirical Finance
2001 : JUL, VOL. 8:3, p. 243-271 |
Asiasana: | Stock markets Bond markets Stock markets Denmark |
Vapaa asiasana: | VAR model Present value relations Return variance decomposition Bias-correction Bootstrapping |
Kieli: | eng |
Tiivistelmä: | 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. |
SCIMA