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Risk and policy uncertainty on stock-bond return correlations : evidence from the US markets

Chiang, Thomas C. - In: Risks : open access journal 8 (2020) 2/58, pp. 1-16

This paper investigates dynamic correlations of stock-bond returns for different stock indices and bond maturities. Evidence in the US shows that stock-bond relations are time-varying and display a negative trend. The stock-bond correlations are negatively correlated with implied volatilities in...

Persistent link: https://www.econbiz.de/10012292914

Testing for threshold effect in ARFIMA models : application to US unemployment rate data

Lahiani, Amine; Scaillet, Olivier - 2008

Macroeconomic time series often involve a threshold effect in their ARMA representation, and exhibit long memory features. In this paper we introduce a new class of threshold ARFIMA models to account for this. The threshold effect is introduced in the autoregressive and/or the fractional...

Persistent link: https://www.econbiz.de/10003966199

Time-Varying Persistence in US Inflation

Caporin, Massimiliano - 2014

former than in the latter. As an aside, we also show that, persistence of inflation volatility however, is higher during …

Persistent link: https://www.econbiz.de/10013045937

Multicointegration in US consumption data

Siliverstovs, Boriss - 2003

The present paper tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, we exploit the fact that the flows of disposable income and consumption expenditure on the one hand, and...

Persistent link: https://www.econbiz.de/10011439261

Multicointegration in US consumption data

Siliverstovs, Boriss - 2003

Persistent link: https://www.econbiz.de/10013436468

Does monetary policy affect stock market uncertainty? : Empirical evidence from the United States

Jovanović, Mario - 2011

This paper investigates the response of US stock market uncertainty to monetary policy of the Federal Reserve Bank. It can be shown that monetary policy significantly Granger-causes stock market confidence. By using monthly closing prices of the V IX as a stock market uncertainty proxy and a...

Persistent link: https://www.econbiz.de/10008935254

The economics of bitcoins : market characteristics and price jumps

Gronwald, Marc - 2014

This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second,...

Persistent link: https://www.econbiz.de/10010464707

Testing for Leverage Effects in the Returns of US Equities

Chorro, Christophe - 2017

This article questions the empirical usefulness of leverage effects to describe the dynamics of equity returns. Relying on both in and out of sample tests we consistently find a weak contribution of leverage effects over the past 25 years of S&P 500 returns. The skewness in the conditional...

Persistent link: https://www.econbiz.de/10012971911

Does Monetary Policy Affect Stock Market Uncertainty? Empirical Evidence from the United States

Jovanovic, Mario - 2013

Persistent link: https://www.econbiz.de/10013093897

Measuring and modeling risk using high-frequency data

Härdle, Wolfgang (contributor); … - 2008

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …

Persistent link: https://www.econbiz.de/10003727640

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