Modeling the conditional covariance between stock and bond returns : A multivariate GARCH approach

By P. Goeij, W. Marquering. 2004

160 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/f502c79441abc8c72efd02be103859b326f72759

Citations in the corpus

• Flights and Contagion - an Empirical Analysis of Stock-Bond Correlations (2009, unknown): “The flight-to-quality strand analyzes the stock–bond return relation (e.g. De Goeij and Marquering, 2004; Gulko, 2002; Li, 2002 and Stivers et al., 2005) and the contagion strand investigates cross-country stock market linkages (stock–stock) or cross-country bond market linkages (bond–bond) in…”
• Modeling rainfall–runoff relationship using multivariate GARCH model (2013, unknown): “This ARCH process was first introduced by Engle (1982) and allows the conditional variance change over time as a function of past observations.”