Stock-bond return correlations : moving away from "one-frequency-fits-all" by extending the DCC-MIDAS approach
Year of publication: |
2020
|
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Authors: | Allard, Anne-Florence ; Iania, Leonardo ; Smedts, Kristien |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 71.2020, p. 1-12
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Subject: | Stock-bond correlation | Frequency-variation | Macroeconomic factors | Financial factors | DCC-MIDAS model | Korrelation | Correlation | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Rentenmarkt | Bond market | Börsenkurs | Share price | Volatilität | Volatility |
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