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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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Contagion : How to Measure it?
Rigobon, Roberto - 2001
The empirical literature on contagion has mainly measured the propagation of shocks across countries using daily stock markets, interest rates, and exchange rates. Several methodologies have been used for this purpose, however, the properties of the data introduces important limitations on the...
Persistent link: https://www.econbiz.de/10014036215
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Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)
Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25
, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including …
Persistent link: https://www.econbiz.de/10012486245
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Analyzing Stock-Bond Correlation in Emerging Markets
Ehtesham, Qurat ul Ain - 2020
This study investigated stock-bond correlation in 17 countries of emerging markets (i.e. Czech Republic, Egypt, Greece … higher and negative momentum of the market increase the correlation of stock and bond in a country or vice versa and hence …
Persistent link: https://www.econbiz.de/10012845184
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On the economic determinants of optimal stock-bond portfolios : international evidence
Conrad, Christian; Stürmer, Karin - 2017 - This version: May 31, 2017
Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple … explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by …
Persistent link: https://www.econbiz.de/10011745369
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Why Does the Correlation between Stock and Bond Returns Vary Over Time?
Andersson, Magnus - 2011
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 …, it is found that the stock-bond return correlation is virtually unaffected by economic growth expectations …
Persistent link: https://www.econbiz.de/10013131459
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Financial Crises and the Dynamic Linkages between Stock and Bond Returns
Eraslan, Sercan - 2017
This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...
Persistent link: https://www.econbiz.de/10012953399
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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...
Persistent link: https://www.econbiz.de/10011663407
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Enhancing Betting Against Beta with Stochastic Dominance
Kolokolova, Olga; Xu, Xia - 2022
The performance of the widely used betting-against-beta (BAB) investment strategy is improved by controlling for the stochastic dominance (SD) relation between individual stocks and the market portfolio. Dominating stocks, preferred by all risk-averse and prudent investors, are excluded from the...
Persistent link: https://www.econbiz.de/10014238582
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022
unconditional correlation matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC …
Persistent link: https://www.econbiz.de/10013040932