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Stock and bond market interactions with level and asymmetry dynamics: An out-of-sample application

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  • Goeij, P. C. de

    (Tilburg University)

  • Marquering, W.
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    Bibliographic Info

    Paper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-3557318.

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    Date of creation: 2009
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    Publication status: Published in Journal of Empirical Finance (2009) v.16, p.318-329
    Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-3557318

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    Web page: http://www.tilburguniversity.edu/

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    1. Pagan, A.R. & Schwert, G.W., 1989. "Alternative Models For Conditional Stock Volatility," Papers, Rochester, Business - General 89-02, Rochester, Business - General.
    2. David E. Rapach & Mark E. Wohar, 2006. "Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 238-274.
    3. Jose A. Lopez, 1995. "Evaluating the predictive accuracy of volatility models," Research Paper, Federal Reserve Bank of New York 9524, Federal Reserve Bank of New York.
    4. Marquering, W.A. & Verbeek, M.J.C.M., 2001. "The Economic Value of Predicting Stock Index Returns and Volatility," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2001-75-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    5. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
    6. Peter de Goeij, 2004. "Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(4), pages 531-564.
    7. BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    8. Braun, Phillip A & Nelson, Daniel B & Sunier, Alain M, 1995. " Good News, Bad News, Volatility, and Betas," Journal of Finance, American Finance Association, American Finance Association, vol. 50(5), pages 1575-1603, December.
    9. Kroner, Kenneth F & Ng, Victor K, 1998. "Modeling Asymmetric Comovements of Asset Returns," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 11(4), pages 817-44.
    10. Christiansen, Charlotte, 2005. "Multivariate term structure models with level and heteroskedasticity effects," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(5), pages 1037-1057, May.
    11. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, American Finance Association, vol. 48(5), pages 1779-1801, December.
    12. Brenner, Robin J. & Harjes, Richard H. & Kroner, Kenneth F., 1996. "Another Look at Models of the Short-Term Interest Rate," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 31(01), pages 85-107, March.
    13. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
    14. Charles M. Jones & Owen Lamont & Robin Lumsdaine, 1996. "Macroeconomic News and Bond Market Volatility," Home Pages, Princeton University, Department of Economics _005, Princeton University, Department of Economics.
    15. Goeij, P. C. de & Marquering, W., 2004. "Modeling the conditional covariance between stock and bond returns: A multivariate GARCH approach," Open Access publications from Tilburg University, Tilburg University urn:nbn:nl:ui:12-194709, Tilburg University.
    16. Harvey, Campbell R., 1989. "Time-varying conditional covariances in tests of asset pricing models," Journal of Financial Economics, Elsevier, Elsevier, vol. 24(2), pages 289-317.
    17. E.K. Berndt & B.H. Hall & R.E. Hall, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, National Bureau of Economic Research, Inc, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 103-116 National Bureau of Economic Research, Inc.
    18. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 96(1), pages 116-31, February.
    19. Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, Elsevier, vol. 63(3), pages 443-494, March.
    20. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 31(3), pages 307-327, April.
    21. Miguel A. Ferreira, 2005. "Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(1), pages 126-168.
    22. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 11(01), pages 122-150, February.
    23. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, Econometric Society, vol. 59(2), pages 347-70, March.
    24. Connolly, Robert & Stivers, Chris & Sun, Licheng, 2005. "Stock Market Uncertainty and the Stock-Bond Return Relation," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 40(01), pages 161-194, March.
    25. Jeff Fleming, 2001. "The Economic Value of Volatility Timing," Journal of Finance, American Finance Association, American Finance Association, vol. 56(1), pages 329-352, 02.
    26. Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, American Finance Association, vol. 47(3), pages 1209-27, July.
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    Cited by:
    1. Anghelache, Gabriela Victoria & Kralik, Lorand Istvan & Acatrinei, Marius & Pete, Stefan, 2014. "Influence of the EU Accession Process and the Global Crisis on the CEE Stock Markets: A Multivariate Correlation Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 35-52, June.
    2. Le Pen, Yannick & Sévi, Benoît, 2009. "News and correlations: an impulse response analysis," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/6804, Paris Dauphine University.
    3. Wu, Chih-Chiang & Liang, Shin-Shun, 2011. "The economic value of range-based covariance between stock and bond returns with dynamic copulas," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(4), pages 711-727, September.

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