The stock-bond comovements and cross-market trading
type: Item
instance of: scholarly article
title: The stock-bond comovements and cross-market trading
zbMATH Open document ID: 1401.91077
author: Mengling Li
author: Huanhuan Zheng
author: Yang Zhang
author: Terence T. L. Chong
publication date: 2018-08-10T00:00:00Z
Mathematics Subject Classification ID: 91B25
Mathematics Subject Classification ID: 91B69
zbMATH DE Number: 6916236
zbMATH Keywords: heterogeneity
zbMATH Keywords: stock-bond comovement
zbMATH Keywords: Markov switching VAR
zbMATH Keywords: threshold VAR
MaRDI profile type: Publication
full work available at URL: j.jedc.2016.10.007
OpenAlex ID: W2533152915
cites work: Behavioral heterogeneity in stock prices
cites work: Structural stochastic volatility in asset pricing dynamics: estimation and model contest
cites work: Behavioral heterogeneity in the option market
cites work: Analysis of time series subject to changes in regime
cites work: Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
cites work: Mutual fund separation in financial theory - the separating distributions
cites work: Speculative behavior and the dynamics of interacting stock markets
cites work: Testing and Modeling Multivariate Threshold Models
DOI: 10.1016/J.JEDC.2016.10.007
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6916236