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The 'Fed Model' and the Changing Correlation of Stock and Bond Returns : An Equilibrium Approach
Hasseltoft, Henrik - 2009
the time-varying correlation of US stock and bond returns. Key ingredients are time-varying first and second moments of … macroeconomic volatility. This generates a positive correlation between dividend yields and nominal yields and between stock and …
Persistent link: https://www.econbiz.de/10014209829
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Asymmetric semi-volatility spillover effects in EMU stock markets
Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: International review of financial analysis 57 (2018), pp. 221-230
Persistent link: https://www.econbiz.de/10012006352
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New evidence on optimal asset allocation
Jensen, Gerald R.; Mercer, Jeffrey M. - In: The financial review : the official publication of the … 38 (2003) 3, pp. 435-454
Persistent link: https://www.econbiz.de/10001787285
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A global look into stock market comovements
Inaba, Kei-Ichiro - In: Review of world economics 156 (2020) 3, pp. 517-555
Persistent link: https://www.econbiz.de/10012433063
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General equilibrium with multiple liquid assets
Altermatt, Lukas; Iwasaki, Kohei; Wright, Randall D. - In: Review of economic dynamics 51 (2023), pp. 267-291
Persistent link: https://www.econbiz.de/10014471832
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Multifactor conditional equity premium model : evidence from China's stock market
Cheng, Hang; Guo, Hui; Shi, Yongdong - In: Journal of banking and finance 161 (2024), pp. 1-19
Persistent link: https://www.econbiz.de/10015065800
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Impact of US unconventional monetary policy on dynamic stock-bond correlations : portfolio rebalancing and signalling channel effects
Gökmenoglu, Korhan K.; Hadood, Abobaker Al. Al. - In: Finance research letters 33 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012430850
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Factor-augmented QVAR models : an observation-driven approach
Alanya-Beltran, Willy - In: Macroeconomic dynamics 28 (2024) 4, pp. 970-989
Persistent link: https://www.econbiz.de/10015055127
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Biweekly performance of low-risk anomalies over the FOMC cycle
Yun, Jaesun; Kwon, Kyungyoon - In: Finance research letters 58 (2023) 3, pp. 1-6
Persistent link: https://www.econbiz.de/10014631107
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The variance premiums' responses to the ECB monetary announcements
Chebbi, Tarek; Hmedat, Waleed - In: International journal of trade and global markets 17 (2023) 1, pp. 51-63
Persistent link: https://www.econbiz.de/10014287205