Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies
This study employs the recently developed Lagrange multiplier-based causality-in-variance test by Hafner and Herwartz (2006), to determine the volatility spillovers between interest rates and stock returns for the US, the euro area, the UK, and Japan. The investigation pays careful attention to vola...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |