the time-varying correlation between stock and bond returns. The results indicate that stock and bond prices move in the … same direction during periods of high inflation expectations, while epochs of negative stock-bond return correlation seem … results suggest that periods of elevated stock market uncertainty lead to a decoupling between stock and bond prices. Finally …

and bond portfolios …

countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our …

realized moments - realized volatility, realized skewness and realized kurtosis using high-frequency data. We find realized … skewness to have significant negative effect on future excess returns, on the contrary realized volatility and realized …