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An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns. (2005). Guidolin, Massimo ; Timmerman, Allan.
In: Working Papers.
RePEc:fip:fedlwp:2005-003.

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Cited: 13

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  1. Regime dependent dynamics and European stock markets: Is asset allocation really possible?. (2015). Bhanumurthy, N R ; Ahmad, Wasim ; Sehgal, Sanjay.
    In: Empirica.
    RePEc:kap:empiri:v:42:y:2015:i:1:p:77-107.

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  2. Financial Stress and Equilibrium Dynamics in Money Markets. (2015). Yoldas, Emre ; Senyuz, Zeynep.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2015-91.

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  3. Price relationships in crude oil futures: new evidence from CFTC disaggregated data. (2013). Chevallier, Julien.
    In: Environmental Economics and Policy Studies.
    RePEc:spr:envpol:v:15:y:2013:i:2:p:133-170.

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  4. Measuring Financial Contagion with Extreme Coexceedances. (2012). Thomadakis, Apostolos.
    In: School of Economics Discussion Papers.
    RePEc:sur:surrec:1112.

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  5. Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns. (2012). Thomadakis, Apostolos.
    In: School of Economics Discussion Papers.
    RePEc:sur:surrec:0612.

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  6. Markov Switching Models in Empirical Finance. (2011). Guidolin, Massimo.
    In: Working Papers.
    RePEc:igi:igierp:415.

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  7. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds. (2009). Viceira, Luis ; Campbell, John ; Sunderam, Adi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14701.

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  8. Modeling Tick-by-Tick Realized Correlations. (2008). Corsi, Fulvio ; Audrino, Francesco.
    In: University of St. Gallen Department of Economics working paper series 2008.
    RePEc:usg:dp2008:2008-05.

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  9. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds. (2008). Viceira, Luis ; Campbell, John ; Sunderam, Adi.
    In: 2008 Meeting Papers.
    RePEc:red:sed008:355.

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  10. Small caps in international equity portfolios: the effects of variance risk. (2007). Nicodano, Giovanna ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-075.

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  11. Term structure of risk under alternative econometric specifications. (2006). Timmermann, Allan ; Guidolin, Massimo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:131:y:2006:i:1-2:p:285-308.

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  12. Volatility and Correlation Forecasting. (2006). Diebold, Francis X. ; Andersen, Torben G. ; Bollerslev, Tim ; Christoffersen, Peter F..
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:1-15.

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  13. Are the dynamic linkages between the macroeconomy and asset prices time-varying?. (2005). Guidolin, Massimo ; Ono, Sadayuki .
    In: Working Papers.
    RePEc:fip:fedlwp:2005-056.

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References

References cited by this document

  1. [1] Ang A., and G., Bekaert, 2002a, International Asset Allocation with Regime Shifts, Review of Financial Studies, 15, 1137-1187.

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