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Modeling the conditional covariance between stock and bond returns : a multivariate GARCH approach

Goeij, Peter de; Marquering, Wessel A. - In: Journal of financial econometrics : official journal of … 2 (2004) 4, pp. 531-564

Persistent link: https://www.econbiz.de/10002349838

Do macroeconomic announcements cause asymetric volatility?

Goeij, Peter de (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001713906

Modeling the conditional covariance between stock and bond returns : a multivariate GARCH approach

Goeij, Peter de (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001639402

Do macroeconomic announcements cause asymmetric volatility

Goeij, Peter de (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001901531

Deep speech embeddings of earning calls predict future stock returns

Goeij, Peter de; Liu, Zihao; Postma, Eric - 2025

Persistent link: https://www.econbiz.de/10015417094

Stock-Bond Return Correlations : Moving Away from ‘One-Frequency-Fits-All’ by Extending the DCC-MIDAS Approach

Allard, Anne-Florence - 2019

This paper explores the determinants of U.S. stock-bond correlations estimated at various frequencies. For this purpose, the two-component DCC-MIDAS model of correlation Colacito, Engle & Ghysels (2011) is used and extended to incorporate a third correlation frequency component. Subsequently,...

Persistent link: https://www.econbiz.de/10012899144

COAALA : a novel approach to understanding extreme stock-bond comovement

Allard, Anne-Florence; Hanbali, Hamza; Smedts, Kristien - 2024

Persistent link: https://www.econbiz.de/10015338817

Do lenders price firms' cybersecurity risks?

Choi, Bokmin; Degryse, Hans; Smedts, Kristien - 2025

Persistent link: https://www.econbiz.de/10015419006