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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
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Three essays on asset pricing and portfolio allocation
Zhang, Zhe - 2004
Persistent link: https://www.econbiz.de/10003387672
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Consumption risks in option returns
Yang, Shuwen; Aretz, Kevin; Liu, Hening; Zhang, Yuzhao - In: Journal of empirical finance 69 (2022), pp. 285-302
Persistent link: https://www.econbiz.de/10013478527
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Economic volatility and sovereign yields' determinants : a time-varying approach
Afonso, António; Jalles, João Tovar - 2015
Persistent link: https://www.econbiz.de/10011549285
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Economic volatility and sovereign yields' determinants : a time-varying approach
Afonso, António; Jalles, João Tovar - In: Empirical economics : a journal of the Institute for … 58 (2020) 2, pp. 427-451
Persistent link: https://www.econbiz.de/10012219023
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The impact of macroeconomic variables (MEV) on the stock market returns in MENA countries
Shehata, Mohamed S. S. A. - In: Journal for global business advancement : JGBA 15 (2022) 5, pp. 643-663
Persistent link: https://www.econbiz.de/10014309121
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Chinese economic policy uncertainty and the cross-section of U.S. asset returns
Lee, Kiryoung; Jeon, Yoontae; Nam, Eun-Young - In: International review of economics & finance : IREF 76 (2021), pp. 1063-1077
Persistent link: https://www.econbiz.de/10013176785
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Fiscal policy uncertainty and US output
Popiel, Michal Ksawery - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10012198646
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Estimating C-CAPM and the equity premium over the frequency domain
Kalyvitēs, Sarantēs; Panopulu, Aikaterinē - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 5, pp. 551-571
Persistent link: https://www.econbiz.de/10010228554
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Asset Pricing with Heterogeneous Agents and Long-Run Risk
Pohl, Walt - 2020
This paper shows that belief differences have strong effects on asset prices in consumption-based asset-pricing models … with long-run risks. Belief heterogeneity leads to time-varying consumption and wealth shares of the agents. This time …
Persistent link: https://www.econbiz.de/10012853501