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Effects of macroeconomic uncertainty on the stock and bond markets
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - In: Finance research letters 13 (2015), pp. 10-16
Persistent link: https://www.econbiz.de/10011552317
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Dynamic stock-bond return correlations and financial market uncertainty
Chiang, Thomas C.; Li, Jiandong; Yang, Sheng-Yung - In: Review of quantitative finance and accounting 45 (2015) 1, pp. 59-88
Persistent link: https://www.econbiz.de/10011333137
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Impact of financial market uncertainty and macroeconomic factors on stock-bond correlation in emerging markets
Dimic, Nebojsa; Kiviaho, Jarno; Piljak, Vanja; Äijö, Janne - In: Research in international business and finance 36 (2016), pp. 41-51
Persistent link: https://www.econbiz.de/10011594241
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Macro-finance determinants of the long-run stock-bond correlation : the DCC-MIDAS specification
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 617-642
Persistent link: https://www.econbiz.de/10011623696
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The role of investor sentiment in the long-term correlation between U.S. stock and bond markets
Fang, Libing; Yu, Honghai; Huang, Yingbo - In: International review of economics & finance : IREF 58 (2018), pp. 127-139
Persistent link: https://www.econbiz.de/10012034198
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The effect of economic policy uncertainty on the long-term correlation between U.S. stock and bond markets
Fang, Libing; Yu, Honghai; Li, Lei - In: Economic modelling 66 (2017), pp. 139-145
Persistent link: https://www.econbiz.de/10011813695
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Stocks and bonds during the gold standard
Le Bris, David; Rezaee, Amir - In: Economics letters 159 (2017), pp. 119-122
Persistent link: https://www.econbiz.de/10011903450
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Regime shifts in a long-run risks model of stock and treasury bond markets
Li, Kai; Xu, Chenjie - In: China finance review international 12 (2022) 4, pp. 541-570
Persistent link: https://www.econbiz.de/10013453608
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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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Stock-Bond Return Correlations : Moving Away from ‘One-Frequency-Fits-All’ by Extending the DCC-MIDAS Approach
Allard, Anne-Florence - 2019
, the two-component DCC-MIDAS model of correlation Colacito, Engle & Ghysels (2011) is used and extended to incorporate a … third correlation frequency component. Subsequently, macroeconomic and financial variables are studied as determinants of … each component. We show that the daily correlation component is driven by financial market factors, while the monthly …
Persistent link: https://www.econbiz.de/10012899144