[go: up one dir, main page]

create a website
Predicting Bond Betas using Macro-Finance Variables. (2018). cipollini, andrea ; Christiansen, Charlotte ; Aslanidis, Nektarios.
In: Working Papers.
RePEc:urv:wpaper:2072/306546.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 18

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Baele, L., G. Bekaert, and K. Inghelbrecht (2010): “The Determinants of Stock and Bond Return Comovements,”Review of Financial Studies, 23(6).

  2. Bao, J., and K. Hou (2017): “De Facto Seniority, Credit Risk, and Corporate Bond Prices,” The Review of Financial Studies, 30(11), 4038– 4080.

  3. Bao, J., K. Hou, and S. Zhang (2015): “Systemic Default and Return Predictability in the Stock and Bond Markets,”Working Paper.
    Paper not yet in RePEc: Add citation now
  4. Boudoukh, J., M. Richardson, and R. F. Whitelaw (1994): “Industry Returns and the Fisher Eect,”Journal of Finance, 49, 1595– 1615.
    Paper not yet in RePEc: Add citation now
  5. Caggiano, G., E. Castelnuovo, and N. Groshenny (2014): “’ Uncertainty Shocks and Unemployment Dynamics in U.S. Recessions,”Journal of Monetary Economics, 67, 78– 92.

  6. Campbell, J. Y., A. Sunderam, and L. M. Viceira (2017): “In‡ ation Bets or De‡ ation Hedges? The Changing Risks of Nominal Bonds,”Critical Finance Review, 6, 263â AŞ301.
    Paper not yet in RePEc: Add citation now
  7. Campbell, J. Y., and J. Ammer (1993): “What Moves the Stock and Bond markets? A Variance Decomposition for Long-Term Asset Returns,”Journal of Finance, 48, 3– 37.

  8. Campbell, J. Y., C. Pflueger, and L. M. Viceira (2015): “Monetary Policy Drivers of Bond and Equity Risks,”Working Paper.
    Paper not yet in RePEc: Add citation now
  9. Choi, J., M. P. Richardson, and R. Whitelaw (2014): “On the Fundamental Relation between Equity Returns and Interest Rates,”Working Paper, SSRN.

  10. Connolly, R. A., C. Stivers, and L. Sun (2007): “Commonality in the Time-Variation of Stock-Stock and Stock-Bond Return Comovements,”Journal of Financial Markets, 10(2), 192– 218.

  11. Elliott, G., A. Gargano, and A. Timmermann (2013): “Complete Subset Regressions,” Journal of Econometrics, 177, 357– 373.

  12. Fama, and French (1993): “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics, 33, 3– 56.

  13. Goyal, A., and I. Welch (2008): “A Comprehensive Look at The Empirical Performance of Equity Premium Prediction,”The Review of Financial Studies, 21(4), 1455– 1508.

  14. Ludvigson, S. C., and S. Ng (2009): “Macro Factors in Bond Risk Premia,” Review of Financial Studies, 22(2), 5027– 5067.

  15. Ludvigson, S., and S. Ng (2010): “A Factor Analysis of Bond Risk Premia,”in Handbook of Empirical Economics and Finance, ed. by A. Uhla, and D. E. A. Giles, pp. 313– 372. Chapman and Hall, Boca Raton, FL.
    Paper not yet in RePEc: Add citation now
  16. Pastor, L., and R. F. Stambaugh (2003): “Liquidity Risk and Expected Stock Returns,” Journal of Political Economy, 111(3), 642– 685.

  17. Sims, C., and T. Zha (1999): “Error Bands for Impulse Responses,” Econometrica, 67(5), 1113– 1156.

  18. Viceira, L. M. (2012): “Bond Risk, Bond Return Volatility, and the Term Structure of Interest Rates,”International Journal of Forecasting, 28, 97–

Cocites

Documents in RePEc which have cited the same bibliography

  1. Macroeconomic Drivers of Bond and Equity Risks. (2018). Viceira, Luis ; Pflueger, Carolin ; Campbell, John.
    In: Harvard Business School Working Papers.
    RePEc:hbs:wpaper:14-031.

    Full description at Econpapers || Download paper

  2. Liquidity and volatility in the U.S. treasury market. (2018). Ghysels, Eric ; Fleming, Michael ; Engle, Robert ; Nguyen, Giang.
    In: Staff Reports.
    RePEc:fip:fednsr:590.

    Full description at Econpapers || Download paper

  3. Investor sentiment, flight-to-quality, and corporate bond comovement. (2015). Bethke, Sebastian ; Kempf, Alexander ; Gehde-Trapp, Monika.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1306r3.

    Full description at Econpapers || Download paper

  4. Is Loan Dollarization Contagious across Countries? Evidence from Transition Economies. (2015). Savva, Christos ; Neanidis, Kyriakos.
    In: Centre for Growth and Business Cycle Research Discussion Paper Series.
    RePEc:man:cgbcrp:200.

    Full description at Econpapers || Download paper

  5. Trends in Stock-Bond Correlations. (2015). Okimoto, Tatsuyoshi ; Harumi, Ohmi ; Tatsuyoshi, Okimoto .
    In: Discussion papers.
    RePEc:eti:dpaper:15115.

    Full description at Econpapers || Download paper

  6. Price discovery and regime shift behavior in the relationship between sharia stocks and sukuk: A two-state Markov switching analysis. (2015). Aloui, Chaker ; ben Hamida, Hela ; Hammoudeh, Shawkat.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:34:y:2015:i:c:p:121-135.

    Full description at Econpapers || Download paper

  7. Regression-based estimation of dynamic asset pricing models. (2015). Moench, Emanuel ; Crump, Richard ; Adrian, Tobias.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:118:y:2015:i:2:p:211-244.

    Full description at Econpapers || Download paper

  8. The information content of option-implied information for volatility forecasting with investor sentiment. (2015). Kim, Jun Sik ; Seo, Sung Won.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:50:y:2015:i:c:p:106-120.

    Full description at Econpapers || Download paper

  9. Equity volatility as a determinant of future term-structure volatility. (2015). Connolly, Robert ; Bansal, Naresh ; Stivers, Chris .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:25:y:2015:i:c:p:33-51.

    Full description at Econpapers || Download paper

  10. Macro variables and the components of stock returns. (2015). Maio, Paulo ; Philip, Dennis.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:33:y:2015:i:c:p:287-308.

    Full description at Econpapers || Download paper

  11. Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas. (2015). Tiwari, Aviral ; Jammazi, Rania ; Moya, Pablo ; Ferrer, Roman ; Kr, Aviral .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:33:y:2015:i:c:p:74-93.

    Full description at Econpapers || Download paper

  12. Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries. (2015). Hammoudeh, Shawkat ; Aloui, Chaker ; ben Hamida, Hela .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:31:y:2015:i:c:p:311-329.

    Full description at Econpapers || Download paper

  13. Robustness of stable volatility strategies. (2015). Branger, Nicole ; Zieling, Daniel ; Mahayni, Antje.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:60:y:2015:i:c:p:134-151.

    Full description at Econpapers || Download paper

  14. Gold, Oil, and Stocks: Dynamic Correlations. (2015). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Barunik, Jozef.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_5333.

    Full description at Econpapers || Download paper

  15. Investor sentiment, flight-to-quality, and corporate bond comovement. (2014). Kempf, Alexander ; Bethke, Sebastian ; Gehde-Trapp, Monika.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1306r2.

    Full description at Econpapers || Download paper

  16. The Equity-like Behaviour of Sovereign Bonds. (2014). Dufour, Alfonso ; Stancu, Andrei ; Varotto, Simone.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2014-16.

    Full description at Econpapers || Download paper

  17. Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission.. (2014). Panopoulou, Ekaterini ; Morley, Ciara ; Flavin, Thomas ; ThomasJ. Flavin, .
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n249-14.pdf.

    Full description at Econpapers || Download paper

  18. Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification. (2014). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Aijun .
    In: Working Papers.
    RePEc:hhs:lunewp:2014_037.

    Full description at Econpapers || Download paper

  19. Flights to Safety. (2014). Inghelbrecht, Koen ; Bekaert, Geert ; Baele, Lieven ; Wei, Min.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2014-46.

    Full description at Econpapers || Download paper

  20. A view to the long-run dynamic relationship between crude oil and the major asset classes. (2014). Turhan, Ibrahim ; Sensoy, Ahmet ; Ozturk, Kevser ; Hacihasanoglu, Erk ; Åžensoy, Ahmet.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:33:y:2014:i:c:p:286-299.

    Full description at Econpapers || Download paper

  21. System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies. (2014). Gnabo, Jean-Yves ; Hvozdyk, Lyudmyla ; Lahaye, Jerome .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:48:y:2014:i:pa:p:147-174.

    Full description at Econpapers || Download paper

  22. Investor sentiment and return predictability of disagreement. (2014). Ryu, Doojin ; Seo, Sung Won ; Kim, Jun Sik.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:42:y:2014:i:c:p:166-178.

    Full description at Econpapers || Download paper

  23. Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities. (2014). Zhou, Yinggang .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:38:y:2014:i:c:p:216-228.

    Full description at Econpapers || Download paper

  24. Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission. (2014). Panopoulou, Ekaterini ; Morley, Ciara ; Flavin, Thomas ; ThomasJ. Flavin, .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:33:y:2014:i:c:p:137-154.

    Full description at Econpapers || Download paper

  25. Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey. (2014). Sobaci, Cihat ; Sensoy, Ahmet ; Åžensoy, Ahmet.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:43:y:2014:i:c:p:448-457.

    Full description at Econpapers || Download paper

  26. Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification. (2014). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Ai Jun .
    In: CREATES Research Papers.
    RePEc:aah:create:2014-13.

    Full description at Econpapers || Download paper

  27. The correlation puzzle: The interaction of bond and risk correlation. (2013). Kempf, Alexander ; Bethke, Sebastian ; Trapp, Monika .
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1306.

    Full description at Econpapers || Download paper

  28. Predicting Covariance Matrices with Financial Conditions Indexes. (2013). van der Wel, Michel ; van Dijk, Dick ; Opschoor, Anne.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130113.

    Full description at Econpapers || Download paper

  29. Volatility Spillovers between Equity and Bond Markets: Evidence from G7 and BRICS. (2013). Zhang, Dongxiang ; Wang, Juan.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2013:i:4:p:205-217.

    Full description at Econpapers || Download paper

  30. The extreme value in crude oil and US dollar markets. (2013). Wu, Chih-Chiang ; Chen, Wei-Peng ; Choudhry, Taufiq.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:36:y:2013:i:c:p:191-210.

    Full description at Econpapers || Download paper

  31. Stressing correlations and volatilities — A consistent modeling approach. (2013). Becker, Christoph ; Schmidt, Wolfgang M..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:21:y:2013:i:c:p:174-194.

    Full description at Econpapers || Download paper

  32. Bond markets co-movement dynamics and macroeconomic factors: Evidence from emerging and frontier markets. (2013). Piljak, Vanja.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:17:y:2013:i:c:p:29-43.

    Full description at Econpapers || Download paper

  33. Determinants of stock market comovements among US and emerging economies during the US financial crisis. (2013). Min, Hong-Ghi ; Kim, Hyeongwoo ; Hwang, Eugene .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:35:y:2013:i:c:p:338-348.

    Full description at Econpapers || Download paper

  34. Aggregate Stock Market Illiquidity and Bond Risk Premia. (2012). Sojli, Elvira ; Tham, Wing Wah ; Bouwman, Kees E..
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20120140.

    Full description at Econpapers || Download paper

  35. Variance Risk Premium Differentials and Foreign Exchange Returns. (2012). Aloosh, Arash ; Arash, Aloosh .
    In: MPRA Paper.
    RePEc:pra:mprapa:40829.

    Full description at Econpapers || Download paper

  36. Variance bounds on the permanent and transitory components of stochastic discount factors. (2012). Chabi-Yo, Fousseni ; Bakshi, Gurdip .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:105:y:2012:i:1:p:191-208.

    Full description at Econpapers || Download paper

  37. Global, local, and contagious investor sentiment. (2012). Yuan, Yu ; Wurgler, Jeffrey ; Baker, Malcolm.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:104:y:2012:i:2:p:272-287.

    Full description at Econpapers || Download paper

  38. Extreme Correlation of Stock and Bond Futures Markets: International Evidence. (2012). Yang, Jian ; Chui, Chin Man.
    In: The Financial Review.
    RePEc:bla:finrev:v:47:y:2012:i:3:p:565-587.

    Full description at Econpapers || Download paper

  39. Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Christoffersen, Peter ; Errunza, Vihang ; Jacobs, Kris ; Langlois, Hugues.
    In: CREATES Research Papers.
    RePEc:aah:create:2012-48.

    Full description at Econpapers || Download paper

  40. The effect of Emu on bond market integration and investor portfolio allocations. (2011). Pieterse-Bloem, M..
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:3c6ce80d-9260-424a-b889-bf521d2e0313.

    Full description at Econpapers || Download paper

  41. The economic value of range-based covariance between stock and bond returns with dynamic copulas. (2011). Wu, Chih-Chiang ; Liang, Shin-Shun .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:4:p:711-727.

    Full description at Econpapers || Download paper

  42. A component model for dynamic correlations. (2011). Engle, Robert ; Colacito, Riccardo ; Ghysels, Eric.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:164:y:2011:i:1:p:45-59.

    Full description at Econpapers || Download paper

  43. Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models. (2011). Chevallier, Julien.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:6:p:2634-2656.

    Full description at Econpapers || Download paper

  44. Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model. (2011). Chevallier, Julien.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:1-2:p:557-567.

    Full description at Econpapers || Download paper

  45. Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors. (2011). Chabi-Yo, Fousseni ; Bakshi, Gurdip .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2011-11.

    Full description at Econpapers || Download paper

  46. Flight to Liquidity and Global Equity Returns. (2010). Sarkissian, Sergei ; Goyenko, Ruslan .
    In: MPRA Paper.
    RePEc:pra:mprapa:27546.

    Full description at Econpapers || Download paper

  47. Aggregate Idiosyncratic Volatility. (2010). zhang, xiaoyan ; Hodrick, Robert ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8149.

    Full description at Econpapers || Download paper

  48. Predictable return distributions. (2010). Pedersen, Thomas.
    In: CREATES Research Papers.
    RePEc:aah:create:2010-38.

    Full description at Econpapers || Download paper

  49. What Ties Return Volatilities to Price Valuations and Fundamentals?. (2009). David, Alexander ; Veronesi, Pietro.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15563.

    Full description at Econpapers || Download paper

  50. Monetary Policy Shocks and Portfolio Choice. (2009). Straub, Roland ; Saborowski, Christian ; Fratzscher, Marcel.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20091122.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-22 23:17:34 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.