Showing 1 - 10 of 22
Persistent link: https://www.econbiz.de/10015419006
Persistent link: https://www.econbiz.de/10010441210
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
Persistent link: https://www.econbiz.de/10015338817
Persistent link: https://www.econbiz.de/10000802410
Persistent link: https://www.econbiz.de/10000816495
Persistent link: https://www.econbiz.de/10000819437
Persistent link: https://www.econbiz.de/10001250903
Persistent link: https://www.econbiz.de/10001158416
Persistent link: https://www.econbiz.de/10001158419