We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S … their conditional correlation, suggesting reduced hedging potential of REITs against the stock market downturn during the …. Furthermore, we demonstrate that default spread and stock market volatility play a significant role in driving dynamics of these …

countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our …

We analyze the correlation between the stock and bond markets in Germany and the US. We use a standard no …-arbitrage affine model to decompose the correlation between these two assets into its main drivers. The correlation between bond yields … and stock returns is a key determinant of asset allocation. Our results show that the correlation is primarily influenced …

We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

allow these to differ from the correlation processes (namely, DCC-type models) are more beneficial than the models that …

volatilities and the stock-bond correlation. I show that the stock-bond correlation increases in interest rate volatility and … decreases in cash-flow volatility. These results qualitatively explain the historical variation in the stock-bond correlation … multivariate volatility modeling literature to produce an economic covariance model of stock-bond dynamics. The resulting model …

Purpose - The authors explore the relationship between the exchange rate, bond yield and the stock market as well as … the exchange rate, the 10-year bond yield and stock market, for the COVID-19 period, evidence of cointegration is present …/value - To the best of the authors' knowledge, this is the first time that the relationship between the exchange rate, bond yield …