the time-varying correlation between stock and bond returns. The results indicate that stock and bond prices move in the … same direction during periods of high inflation expectations, while epochs of negative stock-bond return correlation seem …, it is found that the stock-bond return correlation is virtually unaffected by economic growth expectations …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity … variation of corporate bond returns than global factors. The factor exposures show intuitive patterns: as ratings worsen, equity …

We examine the risk minimization utility of Islamic stock and Sukuk (bond) indices by studying their linkages against … time-frequency analysis via wavelet tools, revealing pervasive coupling in both returns and volatility series. The linkages …

countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our …

noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …

models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …

volatilities and the stock-bond correlation. I show that the stock-bond correlation increases in interest rate volatility and … decreases in cash-flow volatility. These results qualitatively explain the historical variation in the stock-bond correlation … multivariate volatility modeling literature to produce an economic covariance model of stock-bond dynamics. The resulting model …

divergences in the tail returns from around the world. To do so, it applies extreme value theory to equity indices representing …