Similar Search Results

Nonlinearity and Flight to Safety in the Risk-Return Trade-Off for Stocks and Bonds

Adrian, Tobias - 2017

volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that …, revealing flight to safety: expected returns increase for stocks when volatility increases from moderate to high levels, while … risk is a nonlinear function of market volatility …

Persistent link: https://www.econbiz.de/10012971196

Regime Shifts in a Long-run Risks Model of U.S. Stock and Treasury Bond Markets

Li, Kai; Xu, Chenjie - 2022

We study the joint determinants of stock and bond returns in a long-run risks model framework with regime shifts in consumption and inflation dynamics. In particular, the means, volatilities, and the correlation structure between consumption growth and inflation are regime-dependent. This...

Persistent link: https://www.econbiz.de/10013405156

Regime shifts in a long-run risks model of stock and treasury bond markets

Li, Kai; Xu, Chenjie - In: China finance review international 12 (2022) 4, pp. 541-570

Persistent link: https://www.econbiz.de/10013453608

Mispricing of risk in sovereign bond markets with asymmetric information

Mihm, Benedikt - In: German economic review 17 (2016) 4, pp. 491-511

Persistent link: https://www.econbiz.de/10015182611

Financial information and diverging beliefs

Armstrong, Christopher; Heinle, Mirko S.; Luneva, Irina - In: Review of accounting studies 29 (2024) 3, pp. 2082-2124

Persistent link: https://www.econbiz.de/10015133648

Bond return predictability : economic value and links to the macroeconomy

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540

Persistent link: https://www.econbiz.de/10012000665

Dynamic stock-bond return correlations and financial market uncertainty

Chiang, Thomas C.; Li, Jiandong; Yang, Sheng-Yung - In: Review of quantitative finance and accounting 45 (2015) 1, pp. 59-88

Persistent link: https://www.econbiz.de/10011333137

Effects of macroeconomic uncertainty upon the stock and bond markets

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - 2015

Persistent link: https://www.econbiz.de/10011517001

Resolving Macroeconomic Uncertainty in Stock and Bond Markets

Beber, Alessandro - 2006

We establish an empirical link between the ex-ante uncertainty about macroeconomic fundamentals and the ex-post resolution of this uncertainty in financial markets. We measure macroeconomic uncertainty using prices of economic derivatives and relate this measure to changes in implied...

Persistent link: https://www.econbiz.de/10012466398

Learning from prices : information aggregation and accumulation in an asset market

Berardi, Michele - In: Annals of finance 17 (2021) 1, pp. 45-77

Persistent link: https://www.econbiz.de/10012489937