The Determinants of Stock and Bond Return Comovements
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"The Determinants of Stock and Bond ..." refers result in this paper
...While we do find a moderate degree of autocorrelation in both stock and bond returns, correcting for this bias (using 4 Newey and West (1987) lags) does not meaningfully alter stock-bond return volatilities and correlations....
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"The Determinants of Stock and Bond ..." refers background or methods in this paper
...B A Component Model for Dynamic Stock-Bond Correlations In a recent paper, Colacito, Engle, and Ghysels (2009) introduce a component model for dynamic correlations....
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...Schwert (1989), Campbell and Ammer (1993), and Engle, Ghysels, and Sohn (2008))....
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...Our model fails to forecast realized correlations as well as a benchmark empirical model, using the MIDAS framework of Colacito, Engle, and Ghysels (2009). While this model is a backward-looking empirical model, it uses daily return data efficiently and generally fits the data very well....
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...While we do characterize the variation in stock-bond return correlations using daily return data to calculate ex-post quarterly correlations, our main benchmark is the long-run component of the Colacito, Engle, and Ghysels (2009) model....
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...This figure graphs realized quarterly correlations measured using daily returns, and the dataimplied conditional correlation based on the bivariate DCC-MIDAS model of Colacito, Engle, and Ghysels (2009). See Appendix B for the technical details about this model....
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