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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Zagst, R.; Meyer, T.; Hagedorn, H. 
Nicht-TUM Koautoren:
ja 
Kooperation:
Titel:
Integrated Modelling of Stock and Bond Markets 
Abstract:
We present a cascade model which uses fundamental macroeconomic processes, like inflation rates and GDP growth rates, to describe the evolution of interest rates and equity returns. It is a consequent advancement of Schmid and Zagst (2000) and Zagst, Schmid, and Antes (2004). An innovative feature of the new model is the integration of inflation-linked bonds to obtain real interest rates. Furthermore, we compare the new model with the model of Barrie and Hibbert (2001) by looking at the goodness...    »
 
Intellectual Contribution:
Contribution to Practice 
Zeitschriftentitel:
International Journal of Finance 
Jahr:
2007 
Band / Volume:
19 
Heft / Issue:
Seitenangaben Beitrag:
4252-4277 
Sprache:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein