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Economic-state Variation in Uncertainty-Yield Dynamics
Connolly, Robert A. - 2020
over weaker-economic times since at least 1990. We document this economic-state variation in uncertainty-yield dynamics for … weekly and monthly change horizons, for nominal yields and real-yield proxies, for multiple economic-state identification …
Persistent link: https://www.econbiz.de/10012851743
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Dynamic stock-bond return correlations and financial market uncertainty
Chiang, Thomas C.; Li, Jiandong; Yang, Sheng-Yung - In: Review of quantitative finance and accounting 45 (2015) 1, pp. 59-88
Persistent link: https://www.econbiz.de/10011333137
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Effects of macroeconomic uncertainty on the stock and bond markets
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - In: Finance research letters 13 (2015), pp. 10-16
Persistent link: https://www.econbiz.de/10011552317
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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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Stock returns, asymmetric volatility, risk aversion, and business cycle : some new evidence
Kim, Sei-Wan; Lee, Bong-soo - In: Economic inquiry : journal of the Western Economic … 46 (2008) 2, pp. 131-148
Persistent link: https://www.econbiz.de/10003713348
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Economic policy uncertainty shocks and stock-bond correlations : evidence from the US market
Li, Xiaoming; Zhang, Bing; Gao, Ruzhao - In: Economics letters 132 (2015), pp. 91-96
Persistent link: https://www.econbiz.de/10011431392
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Regime-dependent effects of macroeconomic uncertainty on realized volatility in the US stock market
Liu, Wei; Garrett, Ian - In: Economic modelling 128 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014464307
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Bond return predictability : economic value and links to the macroeconomy
Pettenuzzo, Davide; Gargano, Antonio; Timmermann, Allan - 2014
Persistent link: https://www.econbiz.de/10010505306
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Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - 2014
Persistent link: https://www.econbiz.de/10010409119
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Bond market exposures to macroeconomic and monetary policy risks
Song, Dongho - In: The review of financial studies 30 (2017) 8, pp. 2761-2817
Persistent link: https://www.econbiz.de/10011755603