Return and volatility spillovers between currency and bond markets in India
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DOI: 10.1080/17520843.2018.1512509
Abstract: ABSTRACT This paper examines the return and volatility spillovers between the foreign exchange and bond markets of India using a bivariate asymmetric BEKK-GARCH (1,1) model for the period 4 April 2005 to 31 March 2017.… read more here.
Keywords: bond markets; return volatility; volatility spillovers; markets india ... See more keywords