Showing 1 - 10 of 18,807
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 …
Persistent link: https://www.econbiz.de/10012504028
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 …
Persistent link: https://www.econbiz.de/10009625556
This paper examines the effects of economic policy uncertainty shocks on stock-bond correlations for the US market. We devise a general framework which distinguishes a positive shock from a negative one and nests either as its special case. The results show that innovations in the policy...
Persistent link: https://www.econbiz.de/10013024205
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 …
Persistent link: https://www.econbiz.de/10013112889
We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 …
Persistent link: https://www.econbiz.de/10009409360
Correlation Model.” The sovereign credit risk of Russia, changes in exchange rates and changes in world energy prices were …
Persistent link: https://www.econbiz.de/10013138532
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 …
Persistent link: https://www.econbiz.de/10011296721
The study applies the wavelet local multiple correlations to investigate the level of comovements among the tail risks of US and emerging Asian stock markets in both time and frequency domains. Through this empirical investigation, we address the question of how the transmission of tail risk...
Persistent link: https://www.econbiz.de/10015411007
Using a large panel of firms across the world from 1991-2006, we show that the median foreign firm has lower …
Persistent link: https://www.econbiz.de/10012906259
Persistent link: https://www.econbiz.de/10001803154