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Macroeconomic announcement effects on the covariance structure of government bond returns · Study

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ArticleMacroeconomic announcement effects on the covariance structure of government bond returns

Charlotte Christiansen2000

Article2000

Macroeconomic announcement effects on the covariance structure of government bond returns

Charlotte Christiansen

61 citations·0/0 files stored·Journal of Empirical Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1992ARCH modeling in finance 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1988A Capital Asset Pricing Model with Time-Varying Covariances 1991Common Factors Affecting Bond Returns

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2011Time-varying correlations in oil, gas and CO2prices: an application using BEKK, CCC and DCC-MGARCH models 2014Dynamic linkages among carbon, energy and financial markets: a smooth transition approach 2016Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance 2009Which News Moves the Euro Area Bond Market?2013Mean-variance cointegration and the expectations hypothesis

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Year2000

Typearticle

Published2000-12-01

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations61

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0927-5398(00)00023-2

openalex_workW2028197872

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2004Determinants of the relative price impact of unanticipated information in U.S. macroeconomic releases

2002Credit spreads and the term structure of interest rates

2006Sources of Time Variation in the Covariance Matrix of Interest Rates*