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| Tekijä: | Fleming, J. Kirby, C. Ostdiek, B. |
| Otsikko: | Information and volatility linkages in the stock, bond, and money markets. |
| Lehti: | Journal of Financial Economics
1998 : JUL, VOL. 49, p. 111-137 |
| Asiasana: | Money markets Capital markets Econometric models |
| Kieli: | eng |
| Tiivistelmä: | The authors investigate the nature of volatility linkages in the stock, bond and money markets. They develop a simple model of speculative trading that predicts strong volatility linkages in these markets due to common information, which simultaneously affects expectations across markets, and information spillover caused by cross-market hedging. To measure these linkages, they estimate a stochastic volatility representation of our trading model using GMM. They also find that the linkages have become stronger since the 1987 stock market crash. |
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