CONSUMPTION VOLATILITY, PRODUCTION VOLATILITY, SPOT-RATE VOLATILITY, AND THE RETURNS ON TREASURY BILLS AND BONDS

被引：23
|
作者：
LAUTERBACH, B
机构：
来源：
JOURNAL OF FINANCIAL ECONOMICS | 1989年 / 24卷 / 01期
关键词：
D O I：
10.1016/0304-405X(89)90076-7
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
引用
收藏
页码：155 / 179
页数：25
相关论文
共 50 条
  • [21] Good Volatility, Bad Volatility, and the Cross Section of Stock Returns
    Bollerslev, Tim
    Li, Sophia Zhengzi
    Zhao, Bingzhi
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2020, 55 (03) : 751 - 781
  • [22] Volatility-of-volatility and the cross-section of option returns
    Ruan, Xinfeng
    JOURNAL OF FINANCIAL MARKETS, 2020, 48
  • [23] The impacts of futures trading on volatility and volatility asymmetry of Bitcoin returns
    Zhang, Chuanhai
    Ma, Huan
    Arkorful, Gideon Bruce
    Peng, Zhe
    INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2023, 86
  • [24] THE VOLATILITY PUZZLE OF BONDS
    Stadnik, Bohumil
    8TH INTERNATIONAL SCIENTIFIC CONFERENCE BUSINESS AND MANAGEMENT 2014, 2014, : 313 - 319
  • [25] Sequential Learning of Cryptocurrency Volatility Dynamics: Evidence Based on a Stochastic Volatility Model with Jumps in Returns and Volatility
    Huang, Jing-Zhi
    Huang, Zhijian James
    Xu, Li
    QUARTERLY JOURNAL OF FINANCE, 2021, 11 (02)
  • [26] Volatility of stock market returns and the naira exchange rate
    Tule, Moses
    Dogo, Mela
    Uzonwanne, Godfrey
    GLOBAL FINANCE JOURNAL, 2018, 35 : 97 - 105
  • [27] An empirical examination of intraday volatility in on-the-run U.S. Treasury bills
    Hughes, Michael P.
    Smith, Stanley D.
    Winters, Drew B.
    JOURNAL OF ECONOMICS AND BUSINESS, 2007, 59 (06) : 487 - 499
  • [28] Liquidity and volatility in the US Treasury market
    Giang Nguyen
    Engle, Robert
    Fleming, Michael
    Ghysels, Eric
    JOURNAL OF ECONOMETRICS, 2020, 217 (02) : 207 - 229
  • [29] Returns and volatility of water investments
    Reza, Rajibur
    Tularam, Gurudeo Anand
    Li, Bin
    COGENT ECONOMICS & FINANCE, 2018, 6 (01):
  • [30] The marginal distributions of returns and volatility
    Hurst, SR
    Platen, E
    L(1)-STATISTICAL PROCEDURES AND RELATED TOPICS, 1997, 31 : 301 - 314
12345