The Stock-Bond Return Relation and Macroeconomic Factors：A Quantile Regression Approach
碩士 === 國立臺北大學 === 統計學系 === 99 === This paper examines the impact of the short rate, the yield spread, VIX, the industrial production growth and Index of Consumer Sentiment on the U.S. stock-bond return correlation. We use the Granger causality test and quantile regressions to investigate if and how...
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/84867252715861406259 |