We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

With the recent development of the European debt crisis, traditional index bond management has been severely called …-budgeting approach is the most appropriate scheme to manage sovereign risk in bond portfolios and gives very appealing results with … respect to active management of bond portfolios …

We examine whether CAT bonds can serve as a hedge or a safe haven for global stock, bond, real estate, commodity …

bond market from the same bond market's weight in global bond market, we investigate the determinants of foreign and … domestic investment biases in 41 global bond markets. We find that foreign investors significantly overweigh markets that offer …. Such return driven behavior of foreign investors is especially pronounced in emerging bond markets. Meanwhile, home bias is …

bonds makes it possible to achieve maximum hedging effectiveness between the S&P green bond (GB) and the S&P 500 ESG …

explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by … new DCC-MIDAS model, we construct stock-bond hedge portfolios and show that these portfolios outperform various benchmark …