Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/84691
DC FieldValueLanguage
dc.creatorThomas C. Chiangen_US
dc.creatorJiandong Lien_US
dc.creatorSheng-Yung Yangen_US
dc.date2014-01zh_TW
dc.date.accessioned2014-11-19T05:48:22Z-
dc.date.available2014-11-19T05:48:22Z-
dc.identifier.urihttp://hdl.handle.net/11455/84691-
dc.description.abstractThis paper investigates the dynamic correlations of stock–bond returns for sixadvanced markets. Statistics suggest that stock–bond relations are time-varying and displaysmooth transitional changes. The stock–bond correlations are negatively correlated withstock market uncertainty as measured by the conditional variance and the implied volatilityof the S&P 500 index. However, stock–bond relations are positively related to bond marketuncertainty as measured by the conditional variance of bond returns. The evidence alsoshows that stock–bond correlations are significantly influenced by default risk and theLondon interbank offered rate–T-bill rate spread in the crisis period.en_US
dc.format.medium期刊論文zh_TW
dc.language.isoen_USzh_TW
dc.relationScience+Business Media New York 2014.en_US
dc.relation.urihttp://dx.doi.org/10.1007/s11156-013-0430-4-
dc.subjectStock–bond correlatioen_US
dc.subjectVolatilityen_US
dc.subjectADCC modelen_US
dc.subjectVIXen_US
dc.subjectDefault risken_US
dc.titleDynamic stock–bond return correlations and financialmarket uncertaintyen_US
dc.identifier.doi10.1007/s11156-013-0430-4zh_TW
item.languageiso639-1en_US-
item.grantfulltextnone-
item.fulltextno fulltext-
Appears in Collections:財務金融學系所
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