de Goeij, Peter; Marquering, Wessel - In: Journal of Empirical Finance 16 (2009) 2, pp. 318-329
We model the dynamic interaction between stock and bond returns using a multivariate model with level effects and asymmetries in conditional volatility. We examine the out-of-sample performance using daily returns on the S&P 500 index and 10Â year Treasury bond. We find evidence for...