News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets

Using monthly stock and bond returns data from both the USA and the UK, this study addresses the issue of whether news implied volatility and its main components have affected in any significant manner the time-varying stock–bond covariance, their returns and their variances. The time varying associ...

Full description

Saved in:
Bibliographic Details
Main Authors: Rangan Gupta, Christos Kollias, Stephanos Papadamou, Mark Wohar
Format: Default Article
Published: 2018
Subjects:
Other commerce, management, tourism and services not elsewhere classified
NVIX index
Stock-bond covariance
GARCH models
Business and Management not elsewhere classified
Online Access:https://hdl.handle.net/2134/35697
Tags: Add Tag
No Tags, Be the first to tag this record!

Internet

https://hdl.handle.net/2134/35697

Similar Items