Macroeconomic State Variables as Determinants of Asset Price Covariances |
Common terms and phrases
1-month Eurorate 1-month UK Euro 10-year US bond 6-month Eurorate actual cross-products Asset Return Variance-Covariance Bivariate Asset Return bond 10-year call money rate conditional variance correlations lower Covariance Matrix dâ‚‚ discount bond errors in parentheses factor-based heteroskedastic factors homoskedastic residual Federal Reserve System Finance Discussion Papers forecast GARCH in factors GARCH in returns GARCH models German 1-year bond homoskedastic 0 variance homoskedastic model hypothesis of homoskedasticity inflation 0.26 interest rate 0.26 International Finance Discussion Japanese equity index likelihood ratio test linear function log likelihood functions lower triangular lower triangular matrix Macroeconomic State Variables macroeconomic variables Model of Bivariate null hypothesis orthogonalized output growth 0.26 Panel predicted second moments residual variance returns homoskedastic mean risk management models sample simulated state-dependence U.K. call U.S. call money U.S. CPI U.S. industrial production U.S. inflation U.S. overnight UK 20-year bond UK bond unemployment rate variance-covariance matrix variances on diagonal yield to maturity