IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

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

by Scruggs, John T. & Glabadanidis, Paskalis

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Chin Man Chui & Jian Yang, 2012. "Extreme Correlation of Stock and Bond Futures Markets: International Evidence," The Financial Review, Eastern Finance Association, vol. 47(3), pages 565-587, 08.
  2. Hui Guo & Robert F. Whitelaw, 2006. "Uncovering the Risk-Return Relation in the Stock Market," Journal of Finance, American Finance Association, vol. 61(3), pages 1433-1463, 06.
  3. John Cotter & Enrique Salvador, 2014. "The non-linear trade-off between return and risk: a regime-switching multi-factor framework," Working Papers 201414, Geary Institute, University College Dublin.
  4. León Valle Ángel & Nave Pineda Juan & Rubio Irigoyen Gonzalo, 2005. "The Relationship between Risk and Expected Return in Europe," Working Papers 201025, Fundacion BBVA / BBVA Foundation.
  5. Amir Saadaoui & Younes Boujelbene, 2016. "Volatility Transmission between Dow Jones Stock Index and Emerging Bond Index," EuroEconomica, Danubius University of Galati, issue 2(12), pages 194-216, April.
  6. Christopher, Rachel & Kim, Suk-Joong & Wu, Eliza, 2012. "Do sovereign credit ratings influence regional stock and bond market interdependencies in emerging countries?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 1070-1089.
  7. 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.
  8. Anisha Ghosh & Oliver Linton, 2007. "Consistent estimation of the risk-return tradeoff in the presence of measurement error," LSE Research Online Documents on Economics 24506, London School of Economics and Political Science, LSE Library.
  9. Thomas J. Flavin & Ciara E. Morley & Ekaterini Panopoulou, 2014. "Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission," Economics, Finance and Accounting Department Working Paper Series n249-14.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  10. Charlotte Christiansen, 2010. "Decomposing European bond and equity volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(2), pages 105-122.
  11. 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.
  12. Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom, 2013. "Semi Parametric Estimation Of Risk-Return Relationships," Caepr Working Papers 2013-004, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  13. Helena Chuliá & Hipòlit Torró, 2008. "The economic value of volatility transmission between the stock and bond markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(11), pages 1066-1094, November.
  14. 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.
  15. Jian Yang & Yinggang Zhou & Zijun Wang, 2010. "Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence," Management Science, INFORMS, vol. 56(11), pages 2031-2049, November.
  16. Francis Vitek, 2005. "On Risk Premia and Volatility Transmission Across the Stock and Bond Markets," Finance 0508014, EconWPA.
  17. Stefano d'Addona & Axel H. Kind, 2005. "International Stock-Bond Correlations in a Simple Affine Asset Pricing Model," Finance 0502018, EconWPA.
  18. Johansson, Anders C., 2010. "Stock and Bond Relationships in Asia," Working Paper Series 2010-14, China Economic Research Center, Stockholm School of Economics.
  19. Jammazi, Rania & Tiwari, Aviral Kr. & Ferrer, Román & Moya, Pablo, 2015. "Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 74-93.
  20. 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 7227, C.E.P.R. Discussion Papers.
  21. 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;Academy of Economics and Finance, vol. 36(3), pages 712-727, July.
  22. Goyenko, Ruslan & Sarkissian, Sergei, 2010. "Flight to Liquidity and Global Equity Returns," MPRA Paper 27546, University Library of Munich, Germany.
  23. Elena Andreou & Maria Matsi & Andreas Savvides, 2013. "Stock and Foreign Exchange Market Linkages in Emerging Economies," University of Cyprus Working Papers in Economics 01-2013, University of Cyprus Department of Economics.
  24. 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.
  25. 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.
  26. Salvador, Enrique & Floros, Christos & Arago, Vicent, 2014. "Re-examining the risk–return relationship in Europe: Linear or non-linear trade-off?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 60-77.
  27. GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," CORE Discussion Papers 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  28. Thomas Chiang & Jiandong Li & Sheng-Yung Yang, 2015. "Dynamic stock–bond return correlations and financial market uncertainty," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 59-88, July.
  29. Giot, Pierre & Petitjean, Mikael, 2007. "The information content of the Bond-Equity Yield Ratio: Better than a random walk?," International Journal of Forecasting, Elsevier, vol. 23(2), pages 289-305.
  30. Kenourgios, Dimitris & Samitas, Aristeidis, 2009. "Financial Market Dynamics in an Enlarged European Union," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 24, pages 197-221.
  31. Oikarinen, Elias, 2006. "Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data," Discussion Papers 1004, The Research Institute of the Finnish Economy.
  32. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
  33. repec:dau:papers:123456789/6804 is not listed on IDEAS
  34. 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).
  35. 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 2005-026, Federal Reserve Bank of St. Louis.
  36. Perego, Erica R. & Vermeulen, Wessel N., 2016. "Macro-economic determinants of European stock and government bond correlations: A tale of two regions," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 214-232.
  37. 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.
  38. 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 14/13, Monash University, Department of Econometrics and Business Statistics.
  39. Alfonso Dufour & Andrei Stancu & Simone Varotto, 2014. "The Equity-like Behaviour of Sovereign Bonds," ICMA Centre Discussion Papers in Finance icma-dp2014-16, Henley Business School, Reading University.
  40. 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.
  41. Cho, Sungjun, 2014. "What drives stochastic risk aversion?," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 44-63.
  42. Rubio Irigoyen, Gonzalo & León, Angel & Nave, Juan, 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.
  43. 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.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.