Precautionary Savings and the Stock-Bond Covariance-Reference-Cited by-同舟云学术

Precautionary Savings and the Stock-Bond Covariance

Published:2020 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Laarits Toomas

Publisher

Elsevier BV

Reference37 articles.

1. Monthly data 1973-2015. Covariances with the market calculated from daily using a 30 day rolling window. Plot shows monthly averages. Prices of 10-year Treasury and 10-year TIPS prices from the fitted yield curve of G�rkaynak et al;; Stock-Bond Covariance;Figure,2007

2. (Continued) . . . . . . . . . . . . . . . . . . 40 TR 1 T 62.23 3.025 40 TR 2 R 64.92 3.041 41 TR 1 T 48.99 2.706 41 TR 2 R 61.74 2.808 42 TR 1 T 53.18 3.240 42 TR 2 R 17.51 1.702 46 TR 1 T . 1.680 46 TR 2 R . . 48 TR 1 T 98.03 3.434 48 TR 2 R 236.17 7.378 49 TR 1 T 1070.98 21.517 49 TR 2 R 1016.52 20.116; run; proc mixed data=bio2x2; class sequence subject period form; model logauc=sequence period form/ ddfm=kenwardroger; random subject(sequence); lsmeans form/pdiff cl alpha=0.1; estimate ’ABE for logAUC’ form -1 1; run; proc mixed data=bio2x2; class sequence subject period form; model logcmax=sequence period form/ ddfm=kenwardroger; random subject(sequence); lsmeans form/pdiff cl alpha=0.1; estimate ’ABE for logCmax’ form -1 1; run; (Continued) AUC -Analysis Covariance Parameter Estimates Cov Parm Estimate SUBJECT(SEQUENCE) 1.5465 Residual 0.1987 (Continued)

3. Stock-Bond Covariance and the High-Yield over Treasury Spread. Covariance on inverted axis. High-yield spread from Bank of America. Monthly data;Figure,1997

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