Volatility Linkages in the Finnish Stock, Bond, and Money Markets

This paper uses weekly data for the period January 9, 1991 to December 30, 2003 to assert the strength of volatility linkages between Finnish stock, bond, and money mar- kets. We use both generalized method of moments and a vector-autoregressive EGARCH specification. The volatility linkages for the stock bond, and stock money market pairings are surprisingly low, even neg..