Article ID Journal Published Year Pages File Type
5069564 Finance Research Letters 2015 7 Pages PDF
Abstract

In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on macroeconomic uncertainty. We use the mixed data sampling (MIDAS) econometric approach. The findings are in accordance with the flight-to-quality phenomenon when macroeconomic uncertainty is high.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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