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The stock-bond correlation and macroeconomic conditions : one and a half centuries of evidence

Yang, Jian; Zhou, Yinggang; Wang, Zijun - In: Journal of banking & finance 33 (2009) 4, pp. 670-680

Persistent link: https://www.econbiz.de/10003820924

Is the value premium a proxy for time-varying investment opportunities ? : some time-series evidence

Guo, Hui; Savickas, Robert; Wang, Zijun; Yang, Jian - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 1, pp. 133-154

Persistent link: https://www.econbiz.de/10003854572

Nonlinearity, data-snooping, and stock index ETF return predictability

Yang, Jian; Cabrera, Juan; Wang, T'ao - In: European journal of operational research : EJOR 200 (2009/10) 2, pp. 498-507

Persistent link: https://www.econbiz.de/10003897177

Extreme correlation of stock and bond futures markets : international evidence

Chui, Chin Man; Yang, Jian - In: The financial review : the official publication of the … 47 (2012) 3, pp. 565-587

Persistent link: https://www.econbiz.de/10009577033

Time-varying risk-returm trade-off in the stock market

Guo, Hui; Wang, Zijun; Yang, Jian - In: Journal of money, credit and banking : JMCB 45 (2013) 4, pp. 623-650

Persistent link: https://www.econbiz.de/10009759991

Asymmetric correlation and volatility dynamics among stock, bond, and securitized real estate markets

Yang, Jian; Zhou, Yinggang; Leung, Wai Kin - In: The journal of real estate finance and economics 45 (2012) 2, pp. 491-521

Persistent link: https://www.econbiz.de/10009581731

The relationship between stock returns and volatility in international stock markets

Li, Qi; Yang, Jian; Hsiao, Cheng; Chang, Young-jae - In: Journal of empirical finance 12 (2005) 5, pp. 650-665

Persistent link: https://www.econbiz.de/10003190360

Modeling stock volatility with trading information

Li, Huirong; Yang, Jian - 1999

Persistent link: https://www.econbiz.de/10001455778

Examining intraday returns with buy/sell information

Lin, Shinn-juh; Yang, Jian - In: Applied financial economics 13 (2003) 6, pp. 447-461

Persistent link: https://www.econbiz.de/10001770761

Asymmetric Correlation and Volatility Dynamics Among Stock, Bond, and Securitized Real Estate Markets

Yang, Jian - 2010

We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S&P500, US corporate bonds, and their real estate counterparts (REITs and CMBS) from 1999 to 2008. We document, for the first time, evidence for asymmetric volatilities and...

Persistent link: https://www.econbiz.de/10013139729