Macro-finance determinants of the long-run stock-bond correlation : the DCC-MIDAS specification
Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou
| Year of publication: |
2016
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|---|---|
| Authors: | Asgharian, Hossein ; Christiansen, Charlotte ; Hou, Ai Jun |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 14.2016, 3, p. 617-642
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| Subject: | DCC-MIDAS model | long-run correlation | macro-finance factors | stock-bond correlation | Korrelation | Correlation | Rentenmarkt | Bond market | Aktienmarkt | Stock market | Volatilität | Volatility | Regressionsanalyse | Regression analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbv025 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011623696