TY  - RPRT
AU  - Nieto, Belén
AU  - Novales Cinca, Alfonso Santiago
AU  - Rubio, Gonzalo
PY  - 2014
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/41599
AB  - This paper analyzes the relationship between the volatility of corporate bond returns and standard financial and macroeconomic indicators reflecting the state of the economy. We employ the GARCHMIDAS multiplicative two-component model of volatility...
LA  - eng
KW  - Corporate bonds
KW  - Volatility
KW  - Low-frequency component
KW  - High-frequency component
KW  - Macroeconomic indicators
KW  - Financial indicators.
TI  - Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
TY  - technical report
VL  - 2014
ER  -