Asymmetry in government bond returns

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

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Asymmetry in government bond returns

Date

2013

Authors

Fujiwara, Ippei

Korber, Lena Mareen

Nagakura, Daisuke

Publisher

Elsevier

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