Showing 1 - 10 of 58
Persistent link: https://www.econbiz.de/10003956890
Persistent link: https://www.econbiz.de/10011552317
This paper explores the time variation in the stock-bond correlation using high-frequency data. Gradual transitions … between regimes of negative and positive stock-bond correlation are well accommodated by the smooth transition regression (STR …
Persistent link: https://www.econbiz.de/10013116164
This paper explores the time variation in the stock-bond correlation using high-frequency data. Gradual transitions … between regimes of negative and positive stock-bond correlation are well accommodated by the smooth transition regression (STR …
Persistent link: https://www.econbiz.de/10013116168
Persistent link: https://www.econbiz.de/10009733432
Severe simultaneous recessions are defined to occur when at least half of the countries under investigation (Australia, Canada, Germany, Japan, United Kingdom, and United States) are in recession simultaneously. I pose two new research questions that extend upon stylized facts for US recessions....
Persistent link: https://www.econbiz.de/10013114667
Persistent link: https://www.econbiz.de/10009127828
We predict bond betas conditioning on a number of macro-finance variables. We explore differences across long … bond betas …
Persistent link: https://www.econbiz.de/10012934945
Persistent link: https://www.econbiz.de/10012418702
Persistent link: https://www.econbiz.de/10011587625