Stock-Bond Correlations,” The - Ilmanen - 2003 () Citation Context ...r time. More recently, several studies havesshown that the correlation between stock and bond returns exhibits considerable time-variations(see e.g., Gulko, 2002; Cappiello,...
Stock-Bond Correlations 来自 ResearchGate 喜欢 0 阅读量: 154 作者:Ilmanen,Antti 摘要: The correlation between stock market and government bond returns was positive through most of the 1900s, but negative in the early 1930s, the late 1950s, and recently. If the trend is sustained, the shift...
Equities Stock-Bond Correlations September 1, 2003 - Antti Ilmanen Topics - Equities Stock-Bond Correlations The correlation between stock market and government bond returns was positive through most of the 1900s, but negative in the early 1930s, the late 1950s, and recently. If the trend...
stock-bond correlations estimated at various frequencies. For this purpose, the two-component DCC-MIDAS model of correlation (Colacito et al., 2011) is used and extended to incorporate a third correlation frequency component. Subsequently, macroeconomic and financial variables are studied as ...
We quantify the effects of policy uncertainty shocks on stock–bond correlations. • We adopt a novel approach to distinguishing between positive and negative shocks. • The advent of the Euro has not changed the sign of the effects. ...
The correlation between stock and bond returns, which went from positive in the 1980–1990s to negative in the 2000–2010s, is analysed with a model that s... M Pericoli - 《International Finance》 被引量: 0发表: 2020年 The stock–bond correlation The correlation between stock and bond ...
Stock-Bond Correlations,” The - Ilmanen - 2003 () Citation Context ...r time. More recently, several studies havesshown that the correlation between stock and bond returns exhibits considerable time-variations(see e.g., Gulko, 2002... L Gulko - 《Journal of Investing》 被引量: 3发表:...
This paper analyses the effects of dynamic correlations between stock and bond returns issued by the same firm on the speed of adjustment towards target leverage. The results show that the estimated correlations are time varying, show persistence and differ among firms. Analysis of the potential ...
Stock-Bond Correlations As the stock market plunges, Treasury bonds tend to rally, and the daily returns become negatively correlated, or decoupled. In this article, the author examines the decoupling that accompanies stock market crashes. He begins by ... L Gulko - 《Journal of Investing》 ...
The article discusses the stock market's reaction to unemployment news, stock-bond return correlations, and the state of the economy. Research shows that on average a surprise increase in unemployment is a good news for stocks during economic expansions and bad news during economic contractions. ...