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Nonlinear relationship between monetary policy and stock returns : evidence from the U.S.

Chauvet, Marcelle; Jiang, Cheng - In: Global finance journal 55 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014248590

Bidirectional volatility transmission between stocks and bond in East Asia : the quantile estimates based on wavelets

Živkov, Dejan; Kovačević, Jelena; Stankov, Biljana; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 1, pp. 49-65

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Wavelet Decomposition and Regime Shifts : Assessing the Effects of Crude Oil Shocks on Stock Market Returns

Jammazi, Rania - 2010

for UK, France and Japan over the period from January 1989 to December 2007. Our procedure involves the estimation of the …

Persistent link: https://www.econbiz.de/10013136516

Macroeconomics determinants of the correlation between stocks and bonds

Pericoli, Marcello - 2018

Persistent link: https://www.econbiz.de/10011941274

Time-varying stock return correlation, news shocks, and business cycles

Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022

innovation to stock return correlation in a vector autoregression are nearly identical to those of a news shock about future … productivity. Thus, market-wide changes in return correlation contain information about changes in future technological …