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 …

noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …

models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …

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 …

divergences in the tail returns from around the world. To do so, it applies extreme value theory to equity indices representing …