The stock-bond correlation and macroeconomic conditions: One and a half centuries of evidence

Journal of Banking and Finance

Volumn 33, Issue 4, 2009, Pages 670-680

  Yang, Jian ^a   Zhou, Yinggang ^b   Wang, Zijun ^c  

^a UNIVERSITY OF COLORADO   (United States)

^b Black Creek Global Advisors   (United States)

^c TEXAS A AND M UNIVERSITY   (United States)

Author keywords

Asymmetry; Business cycle; GARCH; Smooth transition; Stock bond correlation

Indexed keywords

EID: 60649086150     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2008.11.010     Document Type: Article

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