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Flight-to-quality or Contagion? An Empirical Analysis of Stock-bond correlations
16 references·2 citing·49 second hop
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this work references cited by second hop

References

  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 2004An Empirical Analysis of Stock and Bond Market Liquidity900 cited
  • 1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns892 cited
  • 1997Pitfalls in Tests for Changes in Correlations381 cited
  • 2004Asset Market Linkages in Crisis Periods196 cited
  • 2007Why does the correlation between stock and bond returns vary over time?195 cited
  • 2004Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach158 cited
  • 2003Expected returns, risk and the integration of international bond markets155 cited
  • 2006Contagion in international bond markets during the Russian and the LTCM crises142 cited
  • 1998Financial Market Contagion in the Asian Crisis125 cited
  • 2001The Danish stock and bond markets: comovement, return predictability and variance decomposition70 cited
  • 2002Stock and Bond Pricing in an Affine Economy56 cited
  • 2005Volatility transmission between stock and bond markets

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53 cited
  • 2005Contagion versus flight to quality in financial markets41 cited
  • Cited by

    • 2008Crisis-Robust Bond Portfolios21 cited
    • 2010Stock-bond co-movements and cross-country linkages20 cited