Asymmetry in government bond returns
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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
dc.contributor.author | Fujiwara, Ippei | |
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dc.contributor.author | Korber, Lena Mareen | |
dc.contributor.author | Nagakura, Daisuke | |
dc.date.accessioned | 2015-12-08T22:36:27Z | |
dc.identifier.issn | 0378-4266 | |
dc.identifier.uri | http://hdl.handle.net/1885/35265 | |
dc.description.abstract | 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.publisher | Elsevier | |
dc.source | Journal of Banking and Finance | |
dc.subject | Keywords: Conditional symmetry test; Government bond returns; Skewness | |
dc.title | Asymmetry in government bond returns | |
dc.type | Journal article | |
local.description.notes | Imported from ARIES | |
local.identifier.citationvolume | 37 | |
dc.date.issued | 2013 | |
local.identifier.absfor | 140102 - Macroeconomic Theory | |
local.identifier.ariespublication | u5202662xPUB122 | |
local.type.status | Published Version | |
local.contributor.affiliation | Fujiwara, Ippei, College of Asia and the Pacific, ANU | |
local.contributor.affiliation | Korber, Lena Mareen, London School of Economics and Political Science | |
local.contributor.affiliation | Nagakura, Daisuke , Keio University | |
local.description.embargo | 2037-12-31 | |
local.bibliographicCitation.startpage | 3218 | |
local.bibliographicCitation.lastpage | 3226 | |
local.identifier.doi | 10.1016/j.jbankfin.2013.03.002 | |
dc.date.updated | 2016-02-24T11:35:06Z | |
local.identifier.scopusID | 2-s2.0-84878632351 | |
local.identifier.thomsonID | 000320969600040 | |
Collections | ANU Research Publications |
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