We use wavelet analysis to examine the impact of macro-news announcements on the stock-bond correlation. Significant … model specifications, volatility effects and other robustness considerations continue to support our results. These results …

sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the …

negative levels, unconditional volatility surged more than two hundred percent, and correlation between stocks weakened. Beta … only somewhat stronger and was not pervasive, and conditional volatility risk premium did not rise. Also, negative skewness …

negative levels, unconditional volatility surged more than two hundred percent, and correlation between stocks weakened. Beta … only somewhat stronger and was not pervasive, and conditional volatility risk premium did not rise. Also, negative skewness …

considered effective equity diversifiers also faced precipitous losses. In stark contrast, volatility levels as measured by VIX … focus on the latter part of 2008. While a long volatility exposure may result in negative excess returns over the long term …

Stronger volatility skew and smile effects accompanied by a risk-neutral distribution that is closer to the Normal seem …-neutral volatility level playing a major role. Additionally, the term structure of implied volatility became inverted (negatively sloped …) during the crisis, driven by the inversion of the term structure of risk-neutral volatility and by the rise in the shorter …

Local correlation is used to examine financial contagion. We share the view of previous research that there is …

volatility persistence of augmented model is relatively higher than univariate model during the post-crisis, this shows that … informational efficiency has decreased after the crisis. Third, inconsistent time span observed in cross-correlation function also …