Modelling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India
Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing through markets with little connection to such fundamentals? To answer the question, this research explores the volatility dynamics and measures the persistence of shocks to the sove...
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| Principais autores: | , , , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Taylor & Francis Group
2023-12-01
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| coleção: | Cogent Economics & Finance |
| Assuntos: | |
| Acesso em linha: | https://www.tandfonline.com/doi/10.1080/23322039.2023.2189589 |
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