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 …

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 …

) stock-bond correlation forecasts falling 10-year interest rates over the coming weeks, and it also forecasts a falling 1 …-year interest rates over the next year. The reverse is true when the stock-bond correlation is higher (more positive … markets and/or policymakers' under-reaction to the changing economic conditions implied by the stock-bond correlation; and (2 …

We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S … their conditional correlation, suggesting reduced hedging potential of REITs against the stock market downturn during the …

We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S … their conditional correlation, suggesting reduced hedging potential of REITs against the stock market downturn during the …

standard dynamic conditional correlation approach, especially during the recent global financial crisis when financial market …

We propose a novel regime-switching model to study correlation asymmetries in international equity markets. We … countries. We find that correlations due to jumps, not diffusion, increase markedly in bad markets leading to correlation breaks … during crises. Our model provides a better description of correlation asymmetries than GARCH, copula and stochastic …