Correlations between stock returns and bond returns: income and substitution effects

DOI10.1080/14697688.2011.631028MaRDI QIDQ5247281zbMATH OpenOpenAlexFDO

Authors Gwangheon Hong, Young-Soo Kim, Bong-Soo Lee

Publication date 23 April 2015

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2011.631028

zbMATH Keywords

asset allocationasset returns correlationstructural VAR identification

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A new look at the statistical model identification
• Asset Prices in an Exchange Economy
• Assets, Contingent Commodities, and the Slutsky Equations
• Estimating the dimension of a model
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Statistical analysis of cointegration vectors
• Strategic asset allocation

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