Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies
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- Hossein Hassani & Mohammad Reza Yeganegi & Rangan Gupta, 2020.
"Historical Forecasting Of Interest Rate Mean And Volatility Of The United States: Is There A Role Of Uncertainty?,"
Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 15(04), pages 1-17, December.
- Hossein Hassani & Mohammad Reza Yeganegi & Rangan Gupta, 2020. "Historical Forecasting of Interest Rate Mean and Volatility of the United States: Is there a Role of Uncertainty?," Working Papers 202075, University of Pretoria, Department of Economics.
- Godwin Olasehinde-Williams & Ruth Omotosho & Festus Victor Bekun, 2024. "Interest Rate Volatility and Economic Growth in Nigeria: New Insight from the Quantile Autoregressive Distributed Lag (QARDL) Model," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(4), pages 20172-20195, December.
- Ruipeng Liu & Mawuli Segnon & Rangan Gupta & Elie Bouri, 2021. "Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective," Working Papers 202178, University of Pretoria, Department of Economics.
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Keywords
; ; ;JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G1 - Financial Economics - - General Financial Markets
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