Peng, Lin; Xiong, Wei; Bollerslev, Tim - In: European Financial Management 13 (2007) 3, pp. 394-422
"This paper analyses the effect of an increase in market-wide uncertainty on information flow and asset price comovements. We use the daily realised volatility of the 30-year treasury bond futures to assess macroeconomic shocks that affect market-wide uncertainty. We use the ratio of a stock's...