Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5069564 | Finance Research Letters | 2015 | 7 Pages |
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
Authors
Hossein Asgharian, Charlotte Christiansen, Ai Jun Hou,