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Document type:
Zeitschriftenaufsatz 
Author(s):
Zagst, R.; Meyer, T.; Hagedorn, H. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
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 
Journal title:
International Journal of Finance 
Year:
2007 
Journal volume:
19 
Journal issue:
Pages contribution:
4252-4277 
Language:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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