We examine the implications of time variation in the correlation between the equity premium and nondurable consumption … growth for equity return dynamics in G-7 countries. Using a VAR-GARCH (1,1) model, we find that the correlation increases … effect is that the correlation increases during a recession. We find that the effect of a countercyclical correlation is that …

several analytical approaches from large-sample theory and bootstrapped small-sample confidence intervals. We do so for two …

scarcity of data on the structure of trading in this market. This paper analyzes three months of global credit default swap …

There have been widespread claims that credit derivatives such as the credit default swap (CDS) have lowered the cost …