Commonality in the time-variation of stock-stock and stock-bond return comovements

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Gold, Oil, and Stocks: Dynamic Correlations (2016, unknown): “…after the structural break.13 This can be partially caused by broader uncertainty on financial markets; the influence of timevarying uncertainty on price formation and the diversification benefits is shown by Connolly, Stivers, and Sun (2007) during 1992–2002 across a number of major stock markets.”
Determinants of stock market comovements among US and emerging economies during the US financial crisis (2013, background): “Connolly et al. (2007) identify the implied volatility of a stock market.”
Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification (2016, unknown): “Connolly et al. (2005, 2007) investigate how the stock market uncertainty (measured by the VXO volatility index) influences the stock-bond comovement and show that the comovement is positive (negative) following periods with low (hig) uncertainty.”
Geopolitical risks and the oil-stock nexus over 1899–2016 (2017, methodology): “2 Multivariate GARCH models have been widely used to study covariance of stocks and bonds (Longin and Solnik 1995; Kim et al. 2006; Connolly et al. 2005, 2007; Yang et al 2009; Kollias et al, 2013b).”