Dynamic stock–bond return correlations and financial market uncertainty

Review of Quantitative Finance and Accounting

Volumn 45, Issue 1, 2015, Pages 59-88

  Chiang, Thomas C ^a   Li, Jiandong ^b   Yang, Sheng Yung ^c  

^a DREXEL UNIVERSITY   (United States)

^b CENTRAL UNIVERSITY OF FINANCE AND ECONOMICS   (China)

^c NATIONAL CHUNG HSING UNIVERSITY   (Taiwan)

Author keywords

ADCC model; Default risk; Stock bond correlation; VIX; Volatility

Indexed keywords

EID: 84930081228     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1007/s11156-013-0430-4     Document Type: Article

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