corporate bond yield changes and stock returns should be informative about firm level default risk of this corporate debt. In … estimate the contemporaneous correlation between firm level corporate bond yield changes and stock returns using daily data … evidence that as the stock-bond correlations increase in absolute value, the default risks of bonds increase, as expected. In …

without contaminating volatility estimates; bond returns may be sampled as frequently as once every 2 to 3 minutes on days … once every 30 to 40 seconds for bond returns. These sampling frequencies, especially in the case of FX returns, are much … frequencies for FX and bond returns likely reflects the superior depth and liquidity of these markets …

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …

model based on U.S. government bond yields applying Markov chain Monte Carlo techniques we find that the yield factors and … factor volatilities follow highly persistent processes. Using the extracted factors to explain one-year-ahead bond excess …