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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
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Correlation Regimes in International Equity and Bond Returns
Aslanidis, Nektarios - 2020
standard dynamic conditional correlation approach, especially during the recent global financial crisis when financial market …
Persistent link: https://www.econbiz.de/10012855725
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What Moves International Stock and Bond Markets?
Cenedese, Gino - 2015
We study the relation between international mutual fund flows and the different return components of aggregate equity and bond markets. First, we decompose international equity and bond market returns into changes in expectations of future real cash payments, interest rates, exchange rates, and...
Persistent link: https://www.econbiz.de/10013022836
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What Moves International Stock and Bond Markets?
Cenedese, Gino - 2015
We study the relation between international mutual fund flows and the different return components of aggregate equity and bond markets. First, we decompose international equity and bond market returns into changes in expectations of future real cash payments, interest rates, exchange rates, and...
Persistent link: https://www.econbiz.de/10013019220
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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - 2010
version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …
Persistent link: https://www.econbiz.de/10003965868
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International Correlation Asymmetries : Frequent-But-Small and Infrequent-But-Large Equity Returns
Solnik, Bruno - 2017
We propose a novel regime-switching model to study correlation asymmetries in international equity markets. We … countries. We find that correlations due to jumps, not diffusion, increase markedly in bad markets leading to correlation breaks … during crises. Our model provides a better description of correlation asymmetries than GARCH, copula and stochastic …
Persistent link: https://www.econbiz.de/10012972456
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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash
Pesaran, Bahram - 2013
version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …
Persistent link: https://www.econbiz.de/10013094817
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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
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COVID-19 and the forward-looking stock-bond return relationship
Cai, Xiaojing; Cong, Yingnan; Sakemoto, Ryuta - In: Applied economics letters 30 (2023) 3, pp. 297-301
Persistent link: https://www.econbiz.de/10013553396
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Stock-bond decoupling before and after the 2008 crisis
Acosta-Gonzalez, E.; Andrada Félix, Julián; … - In: Applied economics letters 23 (2016) 7/9, pp. 465-470
Persistent link: https://www.econbiz.de/10011627672