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Correlations across Asia-Pacific bond markets and the impact of capital flow measures

Chantapacdepong, Pornpinun; Shim, Ilhyock - 2014

Persistent link: https://www.econbiz.de/10010495717

Correlation regimes in international equity and bond returns

Aslanidis, Nektarios; Martinez, Oscar - In: Economic modelling 97 (2021), pp. 397-410

Persistent link: https://www.econbiz.de/10012793476

Extreme Downside Risk and Financial Crises

Harris, Richard D. F. - 2015

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk-return relationship identified by Bali, Demirtas, and...

Persistent link: https://www.econbiz.de/10013015516

Gold, oil, and stocks

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

Persistent link: https://www.econbiz.de/10010407524

Stock-Bond Correlation : A Global Perspective

Weisberger, Noah; Xu, Xiang - 2022

Stock-bond correlation is considered an important input for multi-asset portfolio construction. While there has been … much research on US stockbond correlation, less work has focused on stock-bond correlations in other countries, their … stock-bond correlations have, by and large, been negative, matching the US experience. Negative stock-bond correlation …

Persistent link: https://www.econbiz.de/10013404695

Safe Asset Carry Trade

Ballensiefen, Benedikt - 2020

-section of long-term bond returns after accounting for standard bond pricing factors …

Persistent link: https://www.econbiz.de/10012848481

Conditional correlations in the returns on oil companies stock prices and their determinants

Giovannini, Massimo; Grasso, Margherita; Lanza, Alessandro - 2004

specifiy the conditional variances of VECM residuals with the Constant Conditional Correlation (CCC) multivariate GARCH model … of Bollerslev (1990) and the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002). The within …

Persistent link: https://www.econbiz.de/10011603089

Explaining the stock-stock, bond-bond and stock-bond correlation across countries

McMillan, David G. - In: International journal of monetary economics and finance … 13 (2020) 5, pp. 429-445

Persistent link: https://www.econbiz.de/10012515166

Is there a role for Islamic bonds in global diversification strategies?

Balcilar, Mehmet; Cerci, Gozde; Demirer, Rıza - In: Managerial finance 42 (2016) 7, pp. 656-679

Persistent link: https://www.econbiz.de/10011572340

Exchange rates and the global transmission of equity market shocks

Ojea-Ferreiro, Javier; Reboredo, Juan Carlos - 2021

We assess the role played by exchange rates in buffering or amplifying the propagation of shocks across international equity markets. Using copula functions we model the joint dependence between exchange rates and two global equity markets and, from a copula framework, we obtain the conditional...

Persistent link: https://www.econbiz.de/10012549999

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