Time Varying Correlations between Stock and Bond Returns - Evidence from Russia

2008 ◽  
Author(s):  
Kashif Saleem
Keyword(s):  
Time Varying ◽  
Bond Returns

Term structure determinants of time‐varying risk of 1‐year bond returns

2019 ◽  
Vol 55 (3) ◽  
pp. 365-384
Author(s):  
Revansiddha Basavaraj Khanapure
Keyword(s):  
Term Structure ◽  
Time Varying ◽  
Bond Returns

Time-varying correlations and Sharpe ratios during quantitative easing

2017 ◽  
Vol 22 (1) ◽  
Author(s):  
Paul M. Jones ◽  
Haley O’Steen
Keyword(s):  
Quantitative Easing ◽  
Time Varying ◽  
Bond Returns ◽  
Econometric Methodology ◽  
Sharpe Ratios

AbstractUsing an econometric methodology from [Cappiello, Lorenzo, Robert F. Engle, and Kevin Sheppard. 2006. “Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns.”

Risk Premia in the 8:30 Economy

2018 ◽  
Vol 08 (03) ◽  
pp. 1850010 ◽  
Author(s):  
Jon Faust ◽  
Jonathan H. Wright
Keyword(s):  
Risk Premia ◽  
Time Varying ◽  
Excess Returns ◽  
Macroeconomic News ◽  
Asset Risk ◽  
Macroeconomic Announcements ◽  
News Announcements ◽  
Bond Returns ◽  
The Times ◽  
Over Time

Financial asset risk premia are widely agreed to vary over time. This paper decomposes these risk premia into expected excess returns earned in short windows around the times of macroeconomic news announcements (which mostly come out at 8:30[Formula: see text]am) and the expected excess returns that are earned at other times. Using intradaily data, we find that some, but not all, of the time-varying expected excess returns accrue right around macroeconomic announcements. In forecasting six-month cumulative bond returns, there is more predictability in announcement windows than at other times.

scholarly journals The role of time-varying rare disaster risks in predicting bond returns and volatility

2018 ◽  
Vol 37 (3) ◽  
pp. 327-340 ◽  
Author(s):  
Rangan Gupta ◽  
Tahir Suleman ◽  
Mark E. Wohar
Keyword(s):  
Time Varying ◽  
Bond Returns
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