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Effects of Macroeconomic Uncertainty on the Stock and Bond Markets · Study

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ArticleEffects of Macroeconomic Uncertainty on the Stock and Bond Markets

Hossein Asgharian2015

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Articlegreen2015

Effects of Macroeconomic Uncertainty on the Stock and Bond Markets

Hossein Asgharian · Charlotte Christiansen · Ai Jun Hou

73 citations·0/0 files stored·Finance research letters

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

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References

2002Dynamic Conditional Correlation 2012Stock Market Volatility and Macroeconomic Fundamentals 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models 2006Testing and Valuing Dynamic Correlations for Asset Allocation 2009A component model for dynamic correlations 2013The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH‐MIDAS Approach 2014On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets 2007On the Economic Sources of Stock Market Volatility

Cited by

2023Economic Policy Uncertainty and Emerging Stock Market Volatility 2023The effect of uncertainty on stock market volatility and correlation 2022You sneeze, and the markets are paranoid: the fear, uncertainty and distress sentiments impact of the COVID-19 pandemic on the stock–bond correlation 2020Hedging stock market risks: Can gold really beat bonds?2025The impact of climate policy uncertainty on the correlations between green bond and green stock markets

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Year2015

Typearticle

Published2015-01-01

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations73

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.frl.2015.03.008

openalex_workW3125578878

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