In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on macroeconomic uncertainty. We use the mixed data sampling (MIDAS) econometric approach. The findings are in accordance with the flight-to-quality phenomenon when macroeconomic uncertainty is high
This study is aimed to investigate whether there is a relationship between correlations in different...
We show that dispersion-based uncertainty about the future course of monetary policy is the single m...
The third and final study examines the causal relationship between uncertainty about macroeconomic f...
In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correl...
In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correl...
We establish an empirical link between the ex-ante uncertainty about macroeconomic fundamentals and ...
We establish an empirical link between the ex-ante uncertainty about macroeconomic fundamentals and ...
We establish an empirical link between the ex-ante uncertainty about macroeconomic fundamentals and ...
We investigate the long-run stock-bond correlation using a novel model that combines the dynamic con...
This article examines the impact of inflation and economic growth expectations and perceived stock m...
This paper examines the correlation between stock and bond returns. It first documents that the majo...
We use Baker, Bloom, and Davis’s (2016) economic policy uncertainty indices in combination with the ...
This paper examines the dynamic correlation between stock and bond returns for five Asian markets wi...
In this thesis, we investigate the relationship between stock and bond returns in the US market from...
We provide empirical evidence on the link between stock market volatility and macroeconomic uncertai...
This study is aimed to investigate whether there is a relationship between correlations in different...
We show that dispersion-based uncertainty about the future course of monetary policy is the single m...
The third and final study examines the causal relationship between uncertainty about macroeconomic f...
In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correl...
In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correl...
We establish an empirical link between the ex-ante uncertainty about macroeconomic fundamentals and ...
We establish an empirical link between the ex-ante uncertainty about macroeconomic fundamentals and ...
We establish an empirical link between the ex-ante uncertainty about macroeconomic fundamentals and ...
We investigate the long-run stock-bond correlation using a novel model that combines the dynamic con...
This article examines the impact of inflation and economic growth expectations and perceived stock m...
This paper examines the correlation between stock and bond returns. It first documents that the majo...
We use Baker, Bloom, and Davis’s (2016) economic policy uncertainty indices in combination with the ...
This paper examines the dynamic correlation between stock and bond returns for five Asian markets wi...
In this thesis, we investigate the relationship between stock and bond returns in the US market from...
We provide empirical evidence on the link between stock market volatility and macroeconomic uncertai...
This study is aimed to investigate whether there is a relationship between correlations in different...
We show that dispersion-based uncertainty about the future course of monetary policy is the single m...
The third and final study examines the causal relationship between uncertainty about macroeconomic f...
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