-bond correlations and bond risk premium, but also quantitatively reproduce various other salient empirical features in stock and bond … markets, including time-varying equity and bond return premia, regime shifts in real and nominal yield curves, the violation …

to increase stock allocations while still satisfying a portfolio risk budget. However, stock-bond correlation is not …

This paper employs multivariate GARCH models with a BEKK specification to show significant shock and volatility … markets from shock and volatility spillovers in mature markets is real. Although emerging Asian local bond market volatilities … are more determined by their own respective shocks and volatilities, in some markets the direct shock and volatility …