The paper estimates constant conditional correlation (CCC) GARCH models to test whether the dramatic changes in stock-bond market correlations can be explained by monetary policy variables such as OIS interest rate shocks or volatility regimes. We find that both specifications are empirically...

This paper analyzes performance measurement based on stochastic discount factors, compared to beta models traditionally used in computing funds' (Jensen) alphas. From a theoretical point of view, standard alphas suffer from several limitations. Our paper addresses this issue from an empirical...

<Para ID="Par3">This paper analyzes performance measurement based on stochastic discount factors, compared to beta models traditionally used in computing funds’ (Jensen) alphas. From a theoretical point of view, standard alphas suffer from several limitations. Our paper addresses this issue from an empirical...</para>