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Commonality in the time-variation of stock–stock and stock–bond return comovements · Study

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ArticleCommonality in the time-variation of stock–stock and stock–bond return comovements

Robert A. Connolly2006

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Articlegreen2006

Commonality in the time-variation of stock–stock and stock–bond return comovements

Robert A. Connolly · Chris T. Stivers · Licheng Sun

156 citations·0/0 files stored·Journal of Financial Markets

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

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References

2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1989Business conditions and expected returns on stocks and bonds 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 2002International Asset Allocation With Regime Shifts 1990Transmission of Volatility between Stock Markets 2002Asymmetric correlations of equity portfolios 1989Transmission of Volatility Between Stock Markets 1996Modeling the conditional distribution of interest rates as a regime-switching process

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Year2006

Typearticle

Published2006-12-30

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations156

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.finmar.2006.09.005

openalex_workW2019036387

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2015Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification

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