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Realized Bond-Stock Correlation: Macroeconomic Announcement Effects · Study

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PreprintRealized Bond-Stock Correlation: Macroeconomic Announcement Effects

Charlotte Christiansen2006

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Preprintgreen2006

Realized Bond-Stock Correlation: Macroeconomic Announcement Effects

Charlotte Christiansen · Angelo Ranaldo

26 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

2003Modeling and Forecasting Realized Volatility 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 1993How Markets Process Information: News Releases and Volatility 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market 1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns 2002Macroeconomic Factors Do Influence Aggregate Stock Returns 2001Modeling and Forecasting Realized Volatility 2005The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2007Realized Stock-Bond Correlation: Macroeconomic Announcement Effectsarticle · 13 shared references 2006The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Applicationpreprint · 9 shared references 2005Real-Time Price Discovery in Stock, Bond and Foreign Exchange Marketsreport · 8 shared references 2005Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmissionpreprint · 8 shared references 2008The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Marketspreprint · 8 shared references 2005Trading around macroeconomic announcements: Are all traders created equal?article · 8 shared references

Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations26

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.746364

openalex_workW1993472082

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