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Stock and bond return relations and stock market uncertainty: Evidence from wavelet analysis
16 references·1 citing·50 second hopsampled
Stock and bond return relations and stock market uncertainty: Evidence from wavelet analysis (2017)Stock and bond return relations and stock…Business cycle synchronization and the Euro: A wavelet analysis (2011)Business cycle synchronizatio…The Determinants of Stock and Bond Return Comovements (2010)The Determinants of Stock and…Oil and the macroeconomy: using wavelets to analyze old issues (2010)Oil and the macroeconomy: usi…Measuring comovement in the time–frequency space (2010)Measuring comovement in the t…International comovement of stock market returns: A wavelet analysis (2009)International comovement of s…Using wavelets to decompose the time–frequency effects of monetary policy (2008)Using wavelets to decompose t…Why does the correlation between stock and bond returns vary over time? (2007)Why does the correlation betw…Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Dynamic correlation analysis …Stock Market Uncertainty and the Stock-Bond Return Relation (2005)Stock Market Uncertainty and …The relationship between stock returns and inflation: new evidence from wavelet analysis (2004)The relationship between stoc…An Empirical Analysis of Stock and Bond Market Liquidity (2004)An Empirical Analysis of Stoc…Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model (1999)Stock Market Overreactions to…Fluctuating Confidence in Stock Markets: Implications for Returns and Volatility (1997)Fluctuating Confidence in Sto…The Term Structure and World Economic Growth (1991)The Term Structure and World …The real term structure and consumption growth (1988)The real term structure and c…A Black Swan in the Money MarketA Black Swan in the Money Mar…Climate risks and stock market volatility spillover: new insights from wavelet and causality methods (2025)Climate risks and stock marke…Is the correlation in international equity returns constant: 1960–1990? (1995)Extreme Correlation of International Equity Markets (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis (2011)Multifractal analysis of financial markets: a review (2019)Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis (2020)The Endogenity of the Optimum Currency Area Criteria (1998)The Generalized Dynamic-Factor Model: Identification and Estimation (2000)Trade, Finance, Specialization, and Synchronization (2004)Does geopolitical risk strengthen or depress oil prices and financial liquidity? Evidence from Saudi Arabia (2019)Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals (2019)Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis (2020)An Intertemporal Capital Asset Pricing Model (1973)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Stock Valuation and Learning about Profitability (2003)Style investing (2003)Ambiguity, Information Quality, and Asset Pricing (2008)Interpreting the macroeconomic time series facts (1992)Discretion versus policy rules in practice (1993)Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series (1999)What Are the Main Drivers of the Bitcoin Price? 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A Dynamic Copula Approach (2012)Generalized impulse response analysis in linear multivariate models (1998)Liquidity Risk and Expected Stock Returns (2003)Market Liquidity and Funding Liquidity (2005)A liquidity-augmented capital asset pricing model (2006)Understanding commonality in liquidity around the world (2011)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)The black swan: the impact of the highly improbable (2007)Credit Frictions and Optimal Monetary Policy (2009)Hedge Fund Contagion and Liquidity Shocks (2010)Over the Cliff: From the Subprime to the Global Financial Crisis (2011)Rollover Risk and Credit Risk (2012)Multivariate Simultaneous Generalized ARCH (1995)An empirical analysis of herd behavior in global stock markets (2010)Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)The COVID-19 Outbreak and Affected Countries Stock Markets Response (2020)Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)A multivariate model of strategic asset allocation (2002)Time-varying short-horizon predictability☆ (2010)
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References

  • 1999Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model997 cited
  • 2004An Empirical Analysis of Stock and Bond Market Liquidity900 cited
  • 2007Dynamic correlation analysis of financial contagion: Evidence from Asian markets896 cited
  • 2009International comovement of stock market returns: A wavelet analysis843 cited
  • 1988The real term structure and consumption growth703 cited
  • 2005Stock Market Uncertainty and the Stock-Bond Return Relation655 cited
  • n.d.A Black Swan in the Money Market610 cited
  • 2008Using wavelets to decompose the time–frequency effects of monetary policy590 cited
  • 2010The Determinants of Stock and Bond Return Comovements533 cited
  • 2011Business cycle synchronization and the Euro: A wavelet analysis350 cited
  • 2010Oil and the macroeconomy: using wavelets to analyze old issues348 cited
  • 2010Measuring comovement in the time–frequency space254 cited
  • 1997Fluctuating Confidence in Stock Markets: Implications for Returns and Volatility244 cited
  • 2004The relationship between stock returns and inflation: new evidence from wavelet analysis200 cited
  • 2007Why does the correlation between stock and bond returns vary over time?

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195 cited
  • 1991The Term Structure and World Economic Growth191 cited
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    • 2025Climate risks and stock market volatility spillover: new insights from wavelet and causality methods19 cited