Extreme Correlation of Stock and Bond Futures Markets: International Evidence
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1540-6288.2012.00340.x/fullpdf
Reference36 articles.
1. Partial adjustment or stale prices? Implications from stock index and futures return autocorrelations;Ahn;Review of Financial Studies,2002
2. Real-time price discovery in stock, bond and foreign exchange markets;Andersen;Journal of International Economics,2007
3. International asset allocation with regime shifts;Ang;Review of Financial Studies,2002
4. Asymmetric correlations of equity portfolios;Ang;Journal of Financial Economics,2002
5. The determinants of stock and bond return comovements;Baele;Review of Financial Studies,2010
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