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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

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

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Canada's dual class shares : further evidence on the market value of cash dividends

Bailey, Warren - In: The journal of finance : the journal of the American … 43 (1988) 5, pp. 1143-1160

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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

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

Yang, Jian - 2012

Persistent link: https://www.econbiz.de/10013101365

Exchange rate fluctuations, political risk, and stock returns : some evidence from an emerging market

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Persistent link: https://www.econbiz.de/10001218098