Testing For Asymmetry In Interest Rate Volatility In The Presence Of A Neglected Level Effect
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Sandy Suardi & O.T.Henry & N. Olekalns, "undated".
"Equity Return and Short-Term Interest Rate Volatility: Level Effects and Asymmetric Dynamics,"
MRG Discussion Paper Series
0206, School of Economics, University of Queensland, Australia.
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More about this item
KeywordsLevel Effects; Asymmetry; Engle-Ng Tests;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-03-18 (All new papers)
- NEP-CFN-2006-03-18 (Corporate Finance)
- NEP-ECM-2006-03-18 (Econometrics)
- NEP-ETS-2006-03-18 (Econometric Time Series)
- NEP-FIN-2006-03-18 (Finance)
- NEP-MAC-2006-03-18 (Macroeconomics)
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