This paper presents an analysis of Euro-zone financial markets based on a joint assessment
of bonds, stocks and stock–bond correlations between groups of Euro-zone countries. The …

This paper uses the asymmetric dynamic conditional correlation model developed by
Cappiello et al.(2006) to analyze the correlation between the Japanese and Singaporean …

Using the asymmetric dynamic conditional correlation (A-DCC) model developed by
Cappiello et al.(2006), this paper empirically analyzes the conditional correlation between …

The literature on momentum is vast. No previous study, however, has examined trading
rules along government bond term structures. Under index-duration-neutral and long-only …

Financial Economics and Econometrics provides an overview of the core topics in
theoretical and empirical finance, with an emphasis on applications and interpreting results …

This paper extends research concerned with the evaluation of co-movement and
correlations in international fixed income markets by examining dynamic linkages in three …

We investigate the extent of financial integration in both short and long term government
debt markets of five South Asian economies from January 2004 to May 2016. We employ …

Green bonds have become an important instrument in mitigating climate changes. They
have been widely used by finance institutions and recently adopted by cities. In 2015, the …

We examine the impact of US monetary policy shocks and economic uncertainty shocks on
the spillovers among corporate bond returns in the EMU, US and Emerging markets (EME) …

This study empirically examines the dynamic linkages among yield SBN-Domestic and IDX-
Composite to the shocks of US Treasury bonds, SP500, and IDR/USD. Analysis applying …