Return, shock and volatility spillovers between the bond markets of Turkey and developed countries
In this study, we present a VAR-BEKK model to investigate the comovements of longterm interest rates between Turkey and four developed (Germany, Japan, USA and UK) markets. We use weekly rates on the 5-year maturity government bonds for the period of February 10, 2006 to September 12, 2014 containin...
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| Autor principal: | |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
General Association of Economists from Romania
2018-09-01
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| Colecção: | Theoretical and Applied Economics |
| Assuntos: | |
| Acesso em linha: |
http://store.ectap.ro/articole/1351.pdf
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