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The effect of economic policy uncertainty on the long-term correlation between U.S. stock and bond markets
Fang, Libing; Yu, Honghai; Li, Lei - In: Economic modelling 66 (2017), pp. 139-145
Persistent link: https://www.econbiz.de/10011813695
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Long memory and structural breaks in modeling the return and volatility dynamics of precious metals
Arouri, Mohamed; Hammoudeh, Shawkat; Lahiani, Amine; … - In: The quarterly review of economics and finance : journal … 52 (2012) 2, pp. 207-218
Persistent link: https://www.econbiz.de/10009700518
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Volatility spillovers and dynamic correlation in European bond markets
Skintzi, Vasiliki D.; Refenes, Apostolos-Paul - In: Journal of international financial markets, … 16 (2006) 1, pp. 23-40
Persistent link: https://www.econbiz.de/10003285772
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The generalized asymmetric dynamic covariance model
Goeij, Peter de; Marquering, Wessel A. - In: Finance research letters 2 (2005) 2, pp. 67-74
Persistent link: https://www.econbiz.de/10002883177
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The Time-Varying Correlation between Crude oil Future and USA Bond Markets During 2005-2020 : Evidence from a DCC-GARCH Model
Tsiaras, Konstantinos - 2021
In this paper, we examine potential time-varying correlations between crude oil future and USA bond markets. We employ … a dynamic conditional correlation (DCC) multivariate GARCH model in order to quantify potential contagion effects …. Empirical results reveal increased conditional correlation in the first sub-period (2005-2012) and no contagion in the second …
Persistent link: https://www.econbiz.de/10013228335
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Stocks and bonds during the gold standard
Le Bris, David; Rezaee, Amir - In: Economics letters 159 (2017), pp. 119-122
Persistent link: https://www.econbiz.de/10011903450
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Regime shifts in a long-run risks model of stock and treasury bond markets
Li, Kai; Xu, Chenjie - In: China finance review international 12 (2022) 4, pp. 541-570
Persistent link: https://www.econbiz.de/10013453608
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Volatility of industrial production growth and characteristics of optimal currency areas in EU-12 countries
Ozimkovska, Valentyna - In: International economics and economic policy : IEEP 13 (2016) 4, pp. 563-591
Persistent link: https://www.econbiz.de/10011714723
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Stock market volatility and macroeconomic fundamentals
Engle, Robert F.; Ghysels, Eric; Sohn, Bumjean - In: The review of economics and statistics 95 (2013) 3, pp. 776-797
Persistent link: https://www.econbiz.de/10009793016
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Commodity volatility breaks
Vivian, Andrew; Wohar, Mark E. - In: Journal of international financial markets, … 22 (2012) 2, pp. 395-422
Persistent link: https://www.econbiz.de/10009581694