The impact of currency market shocks on global bond fund returns and volatility
This study employs advanced econometric models—TVP-SV-VAR, BEKK-MGARCH, DCC)-MGARCH, and WQR models—to analyse the exchange rate sensitivity of global bond ETFs. It examines four major funds (BNDX, TPINX, MGBIX, and FGBFX) with differing exposures to Samurai, Yankee, and Bulldog bonds. The results s...
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| 主要な著者: | , , , , |
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| フォーマット: | Artigo |
| 言語: | Inglês |
| 出版事項: |
Elsevier
2026-01-01
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| シリーズ: | Borsa Istanbul Review |
| 主題: | |
| オンライン･アクセス: | http://www.sciencedirect.com/science/article/pii/S2214845025001760 |
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