We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock-bond correlation. To … this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ … this type of uncertainty on realized stock-bond correlation and jumps. Our findings reveal that uncertainty …

The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with … which allow for time-variability and regime changes in correlation. All estimated models allowing for timevarying … correlation complement each other in identifying time-varying patterns found in the (co-)movement between the variables …

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 … the correlation of financial markets within and across the two countries and is particularly important for the correlation …

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 …

Correlation Model.” The sovereign credit risk of Russia, changes in exchange rates and changes in world energy prices were …

across markets, with the highest correlation of 93.5% between the two Chinese markets, medium correlation of 30% between … correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …

Using a large panel of firms across the world from 1991-2006, we show that the median foreign firm has lower …