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Commonality in the time-variation of stock-stock and stock-bond return comovements

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  • Connolly, Robert A.
  • Stivers, Chris
  • Sun, Licheng

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  • 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, vol. 10(2), pages 192-218, May.
    • Handle: RePEc:eee:finmar:v:10:y:2007:i:2:p:192-218
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    8. Fleming, Jeff & Kirby, Chris & Ostdiek, Barbara, 1998. "Information and volatility linkages in the stock, bond, and money markets," Journal of Financial Economics, Elsevier, vol. 49(1), pages 111-137, July.
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