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The Reaction of Stock-Bond Correlations to Risk Aversion and Real Time Macroeconomic Announcements
Schopen, Jan - 2011
Using a high-frequency dataset, we analyze the effects of risk-aversion and real-time macroeconomic variables on both conditional variances and stock-bond correlations in the Eurozone. We use a generalized DCCX model for correlations and a GARCHX model for variances in order to separate the...
Persistent link: https://www.econbiz.de/10013120613
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Applied flexible correlation modeling
Bauer, Frederik; Missong, Martin - In: Operations research proceedings 2008 : selected papers …, (pp. 495-500). 2009
Persistent link: https://www.econbiz.de/10003841971
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Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling
Berger, Theo; Missong, Martin - In: International review of financial analysis 33 (2014), pp. 33-38
Persistent link: https://www.econbiz.de/10010520086