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Time Variation in the Covariance between Stock Returns and Consumption Growth

โœ Scribed by GREGORY R. DUFFEE


Book ID
109176200
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
240 KB
Volume
60
Category
Article
ISSN
0022-1082

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Time variation in the tail behavior of B
โœ Thomas Werner; Christian Upper ๐Ÿ“‚ Article ๐Ÿ“… 2004 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 140 KB

## Abstract The literature on the tail behavior of asset prices focuses mainly on the foreign exchange and stock markets, with only a few articles dealing with bonds or bond futures. The present article addresses this omission. It focuses on three questions using extreme value analysis: (a) Does th