Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets: Pre & post crisis

Author:

Vukovic Darko B.,Lapshina Kseniya A.,Maiti Moinak

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference56 articles.

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3. Andersen, A. B., & Hansen, J. L. (2006). Risk and Return in the Bond Markets: Past Developments and Future Prospects. Danmarks Nationalbank Working Papers no. 40.

4. Answering the sceptics: Yes, standard volatility models do provide accurate forecasts;Andersen;International Economic Review,1998

5. Expected returns, risk and the integration of international bond markets;Barr;Journal of International Money and Finance,2004

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