Flight-to-quality or Contagion? An EmpiricalAnalysis of Stock-bond correlations
Year of publication: |
2006-04-05
|
---|---|
Authors: | Baur, Dirk ; Lucey, Brian M. |
Institutions: | Institute for International Integration Studies (IIIS), Trinity College Dublin |
Subject: | flight-to-quality | contagion | multivariate GARCH |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Length: |
Classification: | F36 - Financial Aspects of Economic Integration ; F37 - International Finance Forecasting and Simulation ; G11 - Portfolio Choice ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets |
Source: |
-
The Forward Exchange Rate Bias Puzzle: Evidence from New Cointegration Tests
Aggarwal, Raj, (2006)
-
Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach
Mili, Mehdi, (2012)
-
Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach
Mili, Mehdi, (2012)
- More ...
-
The Forward Exchange Rate Bias Puzzle: Evidence from New Cointegration Tests
Aggarwal, Raj, (2006)
-
Integration Of Smaller European Equity Markets : A Time-Varying Integration Score Analysis
Birg, Gregory, (2006)
-
Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold
Baur, Dirk G., (2007)
- More ...