Return, shock and volatility spillovers between the bond markets of Turkey and developed countries
In this study, we present a VAR-BEKK model to investigate the comovements of longterm interest rates between Turkey and four developed (Germany, Japan, USA and UK) markets. We use weekly rates on the 5-year maturity government bonds for the period of February 10, 2006 to September 12, 2014 containin...
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| Format: | Article |
| Language: | English |
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General Association of Economists from Romania
2018-09-01
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| Series: | Theoretical and Applied Economics |
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| Online Access: |
http://store.ectap.ro/articole/1351.pdf
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