Japan’s quantitative monetary easing policy: Effect on the level and volatility of yield spreads

Author:

Hanabusa Kunihiro

Funder

JSPS KAKENHI Grant

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference32 articles.

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2. T Investigating time-variation in the marginal predictive power of the yield spread;Benati;Journal of Economic Dynamics and Control,2008

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4. ARCH modeling in finance;Bollerslev;Journal of Econometrics,1992

5. ARCH models;Bollerslev,1994

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