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Asymmetry in government bond returns

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

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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

dc.contributor.authorFujiwara, Ippei
dc.contributor.authorKorber, Lena Mareen
dc.contributor.authorNagakura, Daisuke
dc.date.accessioned2015-12-08T22:36:27Z
dc.identifier.issn0378-4266
dc.identifier.urihttp://hdl.handle.net/1885/35265
dc.description.abstractIs 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
dc.publisherElsevier
dc.sourceJournal of Banking and Finance
dc.subjectKeywords: Conditional symmetry test; Government bond returns; Skewness
dc.titleAsymmetry in government bond returns
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume37
dc.date.issued2013
local.identifier.absfor140102 - Macroeconomic Theory
local.identifier.ariespublicationu5202662xPUB122
local.type.statusPublished Version
local.contributor.affiliationFujiwara, Ippei, College of Asia and the Pacific, ANU
local.contributor.affiliationKorber, Lena Mareen, London School of Economics and Political Science
local.contributor.affiliationNagakura, Daisuke , Keio University
local.description.embargo2037-12-31
local.bibliographicCitation.startpage3218
local.bibliographicCitation.lastpage3226
local.identifier.doi10.1016/j.jbankfin.2013.03.002
dc.date.updated2016-02-24T11:35:06Z
local.identifier.scopusID2-s2.0-84878632351
local.identifier.thomsonID000320969600040
CollectionsANU Research Publications

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