The DOI matches its Crossref record; 38 of the 38 references it cites were found in a registry or an index.
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
Open accessAbstract
This paper investigates the presence of asymmetric conditional second moments in international equity and bond returns. The analysis is carried out through an asymmetric version of the Dynamic Conditional Correlation model of Engle (2002). Widespread evidence is found that national equity index return series show strong asymmetries in conditional volatility, while little evidence is seen that bond index returns exhibit this behaviour. However, both bonds and equities exhibit asymmetry in conditional correlation. Worldwide linkages in the dynamics of volatility and correlation are examined. It is also found that beginning in January 1999, with the introduction of the Euro, there is significant evidence of a structural break in correlation, although not in volatility. The introduction of a fixed exchange rate regime leads to near perfect correlation among bond returns within EMU countries. However, equity return correlation both within and outside the EMU also increases after January 1999.
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Citations
Cites
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Self-citationModelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model
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Financialization, crisis and commodity correlation dynamics
Silvennoinen, A., & Thorp, S. (2013) · Journal of International Financial Markets, Institutions and Money · doi:10.1016/j.intfin.2012.11.007 · Cited by 650
Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin
Hussain Shahzad, S. J., Bouri, E., Roubaud, D., & Kristoufek, L. (2020) · Economic Modelling · doi:10.1016/j.econmod.2019.07.023 · Cited by 513
Silvennoinen, A., & Teräsvirta, T. (2009) · Handbook of Financial Time Series · doi:10.1007/978-3-540-71297-8_9 · Cited by 452
Dependence structure and extreme comovements in international equity and bond markets
Garcia, R., & Tsafack, G. (2011) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2011.01.003 · Cited by 267
Should investors include Bitcoin in their portfolios? A portfolio theory approach
Platanakis, E., & Urquhart, A. (2020) · The British Accounting Review · doi:10.1016/j.bar.2019.100837 · Cited by 265
Metadata
- Authors
- Cappiello, L., Engle, R. F., & Sheppard, K.
- Venue
- Journal of Financial Econometrics
- Publisher
- Oxford University Press (OUP)
- Published
- 2006-08-09
- Volume
- 4
- Issue
- 4
- Pages
- 537-572
- ISSN
- 1479-8409 (ISSN-L)
- 1479-8417
- OpenAlex
- W2018364810
- Cited by
- 1,767
- References
- 38
- FWCI
- 99.91
- Type
- journal article
- Language
- en
- Open access
- bronze
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
