Stock-bond co-movements and flight-to-quality in G7 countries: a time-frequency analysis

DOI10.1111/BOER.12118zbMATH Open1397.91546OpenAlexW2609707475MaRDI QIDQ4686809FDOQ4686809

Authors: Selçuk Bayracı, Sercan Demiralay, Hatice Gaye Gencer 

Publication date: 10 October 2018

Published in: Bulletin of Economic Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/boer.12118

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zbMATH Keywords

wavelet correlationflight-to-qualitystock-bond co-movementswavelet squared coherency

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• AN ANALYSIS OF U.S. STOCK PRICE BEHAVIOR USING WAVELETS

Cited In (2)

• The stock-bond comovements and cross-market trading
• The shifting dependence dynamics between the G7 stock markets

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