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Macroeconomics determinants of the correlation between stocks and bonds
Pericoli, Marcello - 2018
Persistent link: https://www.econbiz.de/10011941274
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The impact of gold, bond, currency, metals and oil markets on the USA stock market
Partalidou, Xanthi; Kiohos, Apostolos; Giannarakis, Grigoris - In: International Journal of Energy Economics and Policy : IJEEP 6 (2016) 1, pp. 76-81
Persistent link: https://www.econbiz.de/10011448224
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Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market
Aftab, Hira; Beg, Rabiul Alam - In: International Journal of Financial Studies : open … 9 (2021) 1/3, pp. 1-13
changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model …. The model allows for asymmetric risk premia, causality and co-volatility spillovers jointly in the global bond markets …. Empirical results show significant asymmetric partial co-volatility spillovers and risk premium exist in the bond markets. The …
Persistent link: https://www.econbiz.de/10012422545
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Responses of Swiss bond yields and stock prices to ECB policy surprises
Hager, Diego M.; Nitschka, Thomas - 2022
Persistent link: https://www.econbiz.de/10013365932
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Modelling the yields on Australian coupon paying bonds
Hunt, Benjamin F. - 1995
Persistent link: https://www.econbiz.de/10000986255
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Are economically significant bond returns explained by corporate news? : an examination of the German corporate bond market
Janner, Steve; Schmidt, Daniel - In: Financial markets and portfolio management 29 (2015) 3, pp. 271-298
Persistent link: https://www.econbiz.de/10011350192
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On inter-arrival times of bond market extreme events : an application to seven European markets
Siakoulis, Vasileios G.; Venetis, Ioannis A. - In: Journal of economics and finance 39 (2015) 4, pp. 717-741
Persistent link: https://www.econbiz.de/10011471449
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Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy
Nitschka, Thomas - In: Journal of international money and finance 83 (2018), pp. 44-54
Persistent link: https://www.econbiz.de/10012000302
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Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540
Persistent link: https://www.econbiz.de/10012000665
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Investor sentiment and speculative bond yield spreads
Turkmen Muldur, Gozde; Kandir, Serkan Yılmaz; Onal, … - In: Foundations of Management : the journal of Warsaw … 11 (2019) 1, pp. 177-186
The valuation of risky debt is central to theoretical and empirical work in corporate finance. Although much is known … article aims to investigate the effect of investor sentiment as a systematic risk factor on speculative bond yield spreads … period extends from January 1997 to August 2014. In the VAR models, speculative bond spreads and consumer confidence index …
Persistent link: https://www.econbiz.de/10012124736