Explaining the stock-stock, bond-bond and stock-bond correlation across countries
Year of publication: |
2020
|
---|---|
Authors: | McMillan, David G. |
Published in: |
International journal of monetary economics and finance : IJMEF. - Genève [u.a.] : Inderscience Enterprises, ISSN 1752-0487, ZDB-ID 2471959-6. - Vol. 13.2020, 5, p. 429-445
|
Subject: | stocks | bonds | correlation | predictability | realised volatility | portfolio allocation | Korrelation | Correlation | Volatilität | Volatility | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Rentenmarkt | Bond market | Börsenkurs | Share price | Anleihe | Bond | Aktienmarkt | Stock market | Welt | World |
-
High-frequency data and stock-bond investing
Lai, Yu-Sheng, (2022)
-
The information content of the stock and bond return correlation
McMillan, David G., (2018)
-
Stock and bond return relations and stock market uncertainty : evidence from wavelet analysis
Lin, Fu-Lai, (2018)
- More ...
-
Does Information Help Intra‐Day Volatility Forecasts?
McMillan, David G., (2013)
-
Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High‐Frequency Data?
Mcmillan, David G., (2012)
-
Efficiency of the IBEX spot–futures basis: The impact of the mini‐futures
McMillan, David G., (2008)
- More ...