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Correlation regimes in international equity and bond returns
Aslanidis, Nektarios; Martinez, Oscar - In: Economic modelling 97 (2021), pp. 397-410
Persistent link: https://www.econbiz.de/10012793476
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Reevaluating the Risk Minimization Utility of Islamic Stocks and Bonds (Sukuk) in International Financial Markets
Sifat, Imtiaz; Mohamad, Azhar; Zhang, Heng Chao; … - 2022
We examine the risk minimization utility of Islamic stock and Sukuk (bond) indices by studying their linkages against …
Persistent link: https://www.econbiz.de/10013305934
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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …
Persistent link: https://www.econbiz.de/10010407524
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Stock-Bond Correlation : A Global Perspective
Weisberger, Noah; Xu, Xiang - 2022
Stock-bond correlation is considered an important input for multi-asset portfolio construction. While there has been … much research on US stockbond correlation, less work has focused on stock-bond correlations in other countries, their … stock-bond correlations have, by and large, been negative, matching the US experience. Negative stock-bond correlation …
Persistent link: https://www.econbiz.de/10013404695
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Are Islamic Equity Markets 'Safe Havens'? Exploring the Contagion Effects between Metal Future Markets and Malaysian Islamic Bonds Using DCC-FIGARCH During the Recent Global Financ...
Tsiaras, Konstantinos - 2022
Islāmic bonds. We apply twelve six variate dynamic conditional correlation (DCC) FIGARCH models in order to capture potential …
Persistent link: https://www.econbiz.de/10013298571
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Conditional correlations in the returns on oil companies stock prices and their determinants
Giovannini, Massimo; Grasso, Margherita; Lanza, Alessandro - 2004
specifiy the conditional variances of VECM residuals with the Constant Conditional Correlation (CCC) multivariate GARCH model … of Bollerslev (1990) and the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002). The within …
Persistent link: https://www.econbiz.de/10011603089
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Dynamic interactions between foreign institutional investment flows and stock market returns : the case of India
Bulsara, Hemantkumar P.; Dhingra, Vaishali Samir; … - In: Contemporary economics 9 (2015) 3, pp. 271-298
January, 2004 through September, 2012. The analysis employs a Cross Correlation Function (CCF) approach, a Granger Causality …
Persistent link: https://www.econbiz.de/10011392151
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Explaining the stock-stock, bond-bond and stock-bond correlation across countries
McMillan, David G. - In: International journal of monetary economics and finance … 13 (2020) 5, pp. 429-445
Persistent link: https://www.econbiz.de/10012515166
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Exchange rates and the global transmission of equity market shocks
Ojea-Ferreiro, Javier; Reboredo, Juan Carlos - 2021
We assess the role played by exchange rates in buffering or amplifying the propagation of shocks across international equity markets. Using copula functions we model the joint dependence between exchange rates and two global equity markets and, from a copula framework, we obtain the conditional...
Persistent link: https://www.econbiz.de/10012549999
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Flight-to-quality between global stock and bond markets in the COVID era
Papadamou, Stephanos; Fassas, Athanasios P.; … - In: Finance research letters 38 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012490959