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...

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Bibliographic Details
Main Authors: Donzwa, W. (Author), Gupta, R. (Author), Wohar, M.E (Author)
Format: Article
Language:English
Published: Sciendo 2019
Subjects:
Online Access:View Fulltext in Publisher