Volatility Spillovers between Stock and Bond Returns: Evidence from Nordic Countries
This paper uses a bivariate BEKK model to estimate volatility spillover effects between stock and bond markets for the Nordic countries Sweden, Denmark, Finland and Norway. Daily log returns between the years 2001 and 2018 are analyzed. No spillover effect from the bond to the stock market is found in any of the countries which is a result that is unusual compared to a large part of the preexistin