Asymmetric dynamics in the correlations of global equity and bond returns

Journal of Financial Econometrics

Volumn 4, Issue 4, 2006, Pages 537-572

  Cappiello, Lorenzo ^a   Engle, Robert F ^b   Sheppard, Kevin ^c  

^a EUROPEAN CENTRAL BANK   (Germany)

^b NEW YORK UNIVERSITY   (United States)

^c UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Dynamic conditional correlation; International stock and bond correlation; Multivariate GARCH; Variance targeting

Indexed keywords

EID: 33750336690     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbl005     Document Type: Article

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