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Asymmetry in government bond returns

Fujiwara, Ippei; Korber, Lena Mareen; Nagakura, Daisuke

Description

Is there asymmetry in the distribution of government bond returns in developed countries? Can asymmetries be predicted using financial and macroeconomic variables? To answer the first question, we provide evidence for asymmetry in government bond returns

CollectionsANU Research Publications
Date published: 2013
Type: Journal article
URI: http://hdl.handle.net/1885/35265
Source: Journal of Banking and Finance
DOI: 10.1016/j.jbankfin.2013.03.002

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