The role of time-varying rare disaster risks in predicting bond returns and volatility-Reference-Cited by-同舟云学术

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The role of time-varying rare disaster risks in predicting bond returns and volatility

Published:2018-11-23 Issue:3 Volume:37 Page:327-340
ISSN:1058-3300
Container-title:Review of Financial Economics
language:en
Short-container-title:Rev Financ Econ

Author:

Gupta Rangan¹²,Suleman Tahir³⁴,Wohar Mark E.⁵⁶^ORCID

Affiliation:

1. Department of Economics; University of Pretoria; Pretoria South Africa

2. IPAG Business School; Paris France

3. School of Economics and Finance; Victoria University of Wellington; Wellington New Zealand

4. School of Business; Wellington Institute of Technology; Wellington New Zealand

5. College of Business Administration; University of Nebraska at Omaha; Omaha Nebraska

6. School of Business and Economics; Loughborough University; Leicestershire UK

Publisher

Wiley

Subject

Economics and Econometrics,Finance

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/rfe.1051/fullpdf

Reference47 articles.

1. Computation and analysis of multiple structural change models;Bai;Journal of Applied Econometrics,2003

2. The role of news-based uncertainty indices in predicting oil markets: A hybrid nonparametric quantile causality method;Balcilar;Empirical Economics,2017

3. Effect of global shocks and volatility on herd behavior in an emerging market: Evidence from Borsa Istanbul;Balcilar;Emerging Markets Finance and Trade,2015

4. Terror attacks and stock-market fluctuations: Evidence based on a nonparametric causality-in-quantiles test for the G7 countries;Balcilar;European Journal of Finance,2018

5. Rare disasters and asset markets in the twentieth century;Barro;Quarterly Journal of Economics,2006

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