Sovereign bonds, coskewness, and monetary policy regimes
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DOI: 10.1016/j.jfs.2020.100783
Abstract: Abstract Consistent with flight-to-quality, the coskewness between developed market sovereign bonds and global equity markets can help explain bond returns. A coskewness factor, defined as the return difference between the most negative coskewness bond portfolio… read more here.
Keywords: bonds coskewness; monetary policy; coskewness; sovereign bonds ... See more keywords