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Citations for "Risk Premia and the Dynamic Covariance between Stock and Bond Returns"

by Scruggs, John T. & Glabadanidis, Paskalis

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  1. Joe Brocato & Kenneth Smith, 2012. "Sudden equity price declines and the flight-to-safety phenomenon: additional evidence using daily data," Journal of Economics and Finance, Springer, Springer, vol. 36(3), pages 712-727, July.
  2. Christiansen, Charlotte, 2005. "Decomposing European bond and equity volatility," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies F-2004-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  3. Goyenko, Ruslan & Sarkissian, Sergei, 2010. "Flight to Liquidity and Global Equity Returns," MPRA Paper 27546, University Library of Munich, Germany.
  4. Francis Vitek, 2005. "On Risk Premia and Volatility Transmission Across the Stock and Bond Markets," Finance, EconWPA 0508014, EconWPA.
  5. Panchenko, Valentyn & Wu, Eliza, 2009. "Time-varying market integration and stock and bond return concordance in emerging markets," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1014-1021, June.
  6. Johansson, Anders C., 2010. "Stock and Bond Relationships in Asia," Working Paper Series, China Economic Research Center, Stockholm School of Economics 2010-14, China Economic Research Center, Stockholm School of Economics.
  7. Smith, Peter N & Sorensen, Steffen & Wickens, Michael R., 2009. "The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7227, C.E.P.R. Discussion Papers.
  8. Oliver Linton & Anisha Ghosh, 2007. "Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error," FMG Discussion Papers, Financial Markets Group dp605, Financial Markets Group.
  9. Connolly, Robert A. & Stivers, Chris & Sun, Licheng, 2007. "Commonality in the time-variation of stock-stock and stock-bond return comovements," Journal of Financial Markets, Elsevier, Elsevier, vol. 10(2), pages 192-218, May.
  10. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers, School of Economics, University of Surrey 0612, School of Economics, University of Surrey.
  11. Chin Man Chui & Jian Yang, 2012. "Extreme Correlation of Stock and Bond Futures Markets: International Evidence," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 47(3), pages 565-587, 08.
  12. Oikarinen, Elias, 2006. "Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data," Discussion Papers, The Research Institute of the Finnish Economy 1004, The Research Institute of the Finnish Economy.
  13. Elena Andreou & Maria Matsi & Andreas Savvides, 2013. "Stock and Foreign Exchange Market Linkages in Emerging Economies," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics 01-2013, University of Cyprus Department of Economics.
  14. Giot, Pierre & Petitjean, Mikael, 2007. "The information content of the Bond-Equity Yield Ratio: Better than a random walk?," International Journal of Forecasting, Elsevier, Elsevier, vol. 23(2), pages 289-305.
  15. Erica R. PEREGO & Wessel N. VERMEULEN, 2013. "Macroeconomic determinants of European stock and government bond correlations: A tale of two regions," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2013013, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  16. Leon, Angel & Nave, Juan M. & Rubio, Gonzalo, 2007. "The relationship between risk and expected return in Europe," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 495-512, February.
  17. Nave, Juan & Rubio Irigoyen, Gonzalo & León, Angel, 2005. "The Relationship between Risk and Expected Return in Europe," DFAEII Working Papers 2005-08, University of the Basque Country - Department of Foundations of Economic Analysis II.
  18. Xiangjin B. Chen & Param Silvapulle & Mervyn Silvapulle, 2013. "A Semiparametric Approach to Value-at-Risk, Expected Shortfall and Optimum Asset Allocation in Stock-Bond Portfolios," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 14/13, Monash University, Department of Econometrics and Business Statistics.
  19. Kim, Suk-Joong & Moshirian, Fariborz & Wu, Eliza, 2006. "Evolution of international stock and bond market integration: Influence of the European Monetary Union," Journal of Banking & Finance, Elsevier, vol. 30(5), pages 1507-1534, May.
  20. Sunita Narang & V. K. Bhalla, 2011. "Risk-Return Trade-Off in Indian Capital Market During Last Two Decades with Special Emphasis on Crisis Period," Annals - Economic and Administrative Series -, Faculty of Business and Administration, University of Bucharest, vol. 5(1), pages 77-98, December.
  21. Esben Hedegaard & Robert J. Hodrick, 2014. "Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances," NBER Working Papers 20245, National Bureau of Economic Research, Inc.
  22. Kenourgios, Dimitris & Samitas, Aristeidis, 2009. "Financial Market Dynamics in an Enlarged European Union," Journal of Economic Integration, Center for Economic Integration, Sejong University, Center for Economic Integration, Sejong University, vol. 24, pages 197-221.
  23. Hui Guo & Robert F. Whitelaw, 2003. "Uncovering the Risk-Return Relation in the Stock Market," NBER Working Papers 9927, National Bureau of Economic Research, Inc.
  24. Yang, Jian & Zhou, Yinggang & Wang, Zijun, 2009. "The stock-bond correlation and macroeconomic conditions: One and a half centuries of evidence," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 670-680, April.
  25. Aslanidis, Nektarios & Christiansen, Charlotte, 2011. "Quantiles of the Realized Stock-Bond Correlation," Working Papers 2072/151809, Universitat Rovira i Virgili, Department of Economics.
  26. GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  27. Hui Guo & Robert Savickas & Zijun Wang & Jian Yang, 2006. "Is value premium a proxy for time-varying investment opportunities: some time series evidence," Working Papers, Federal Reserve Bank of St. Louis 2005-026, Federal Reserve Bank of St. Louis.
  28. Stefano d'Addona & Axel H. Kind, 2005. "International Stock-Bond Correlations in a Simple Affine Asset Pricing Model," Finance, EconWPA 0502018, EconWPA.
  29. Le Pen, Yannick & Sévi, Benoît, 2009. "News and correlations: an impulse response analysis," Economics Papers from University Paris Dauphine 123456789/6804, Paris Dauphine University.
  30. Li, Xiao-Ming & Zou, Li-Ping, 2008. "How do policy and information shocks impact co-movements of China's T-bond and stock markets?," Journal of Banking & Finance, Elsevier, vol. 32(3), pages 347-359, March.