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The determinants of stock and bond return comovements. (2007). Inghelbrecht, Koen ; Bekaert, Geert.
In: Working Paper Research.
RePEc:nbb:reswpp:200711-27.

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Cited: 41

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Cites: 46

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  1. Foreign investment in times of COVID-19: How strong is the flight to advanced economies?. (2022). Giofre', Maela.
    In: Journal of Multinational Financial Management.
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  2. Dominant currency debt. (2022). Malamud, Semyon ; Eren, Egemen.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:144:y:2022:i:2:p:571-589.

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  3. Empirical studies on the cross-section of corporate bond and stock markets. (2018). van Zundert, Jeroen .
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:338205fc-a031-4e06-a636-966b7596ad1c.

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  4. Macroeconomic Drivers of Bond and Equity Risks. (2018). Viceira, Luis ; Pflueger, Carolin ; Campbell, John.
    In: Harvard Business School Working Papers.
    RePEc:hbs:wpaper:14-031.

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  5. Liquidity and volatility in the U.S. treasury market. (2018). Ghysels, Eric ; Fleming, Michael ; Engle, Robert ; Nguyen, Giang.
    In: Staff Reports.
    RePEc:fip:fednsr:590.

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  6. International stock market leadership and its determinants. (2017). Cai, Charlie X ; Zhang, QI ; Mobarek, Asma.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:33:y:2017:i:c:p:150-162.

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  7. Main driving factors of the interest rate-stock market Granger causality. (2017). Jareño, Francisco ; Hammoudeh, Shawkat M ; Jareo, Francisco ; Ferrer, Roman ; Jammazi, Rania.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:52:y:2017:i:c:p:260-280.

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  8. The effect of economic policy uncertainty on the long-term correlation between U.S. stock and bond markets. (2017). Fang, Libing ; Li, Lei ; Yu, Honghai.
    In: Economic Modelling.
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  9. On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin .
    In: Working Papers.
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  10. Gold, Oil, and Stocks. (2014). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Koenda, Even.
    In: FinMaP-Working Papers.
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  11. Stock Market Co-Movement and Exchange Rate Flexibility: Experience of the Republic of Korea. (2014). Park, Hail.
    In: ADBI Working Papers.
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  12. Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission.. (2014). Panopoulou, Ekaterini ; Morley, Ciara ; Flavin, Thomas ; ThomasJ. Flavin, .
    In: Economics, Finance and Accounting Department Working Paper Series.
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  13. Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification. (2014). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Aijun .
    In: Working Papers.
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  14. Flights to Safety. (2014). Inghelbrecht, Koen ; Bekaert, Geert ; Baele, Lieven ; Wei, Min.
    In: Finance and Economics Discussion Series.
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  15. A view to the long-run dynamic relationship between crude oil and the major asset classes. (2014). Turhan, Ibrahim ; Sensoy, Ahmet ; Ozturk, Kevser ; Hacihasanoglu, Erk ; Åžensoy, Ahmet.
    In: International Review of Economics & Finance.
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  16. System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies. (2014). Gnabo, Jean-Yves ; Hvozdyk, Lyudmyla ; Lahaye, Jerome .
    In: Journal of International Money and Finance.
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  17. Investor sentiment and return predictability of disagreement. (2014). Ryu, Doojin ; Seo, Sung Won ; Kim, Jun Sik.
    In: Journal of Banking & Finance.
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  18. Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification. (2014). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Ai Jun .
    In: CREATES Research Papers.
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  19. The correlation puzzle: The interaction of bond and risk correlation. (2013). Kempf, Alexander ; Bethke, Sebastian ; Trapp, Monika .
    In: CFR Working Papers.
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  20. Volatility Spillovers between Equity and Bond Markets: Evidence from G7 and BRICS. (2013). Zhang, Dongxiang ; Wang, Juan.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2013:i:4:p:205-217.

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  21. The extreme value in crude oil and US dollar markets. (2013). Wu, Chih-Chiang ; Chen, Wei-Peng ; Choudhry, Taufiq.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:36:y:2013:i:c:p:191-210.

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  22. Variance Risk Premium Differentials and Foreign Exchange Returns. (2012). Aloosh, Arash ; Arash, Aloosh .
    In: MPRA Paper.
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  23. Nonparametric prediction of stock returns with generated bond yields. (2012). Sperlich, Stefan ; Nielsen, Jens Perch ; Scholz, Michael.
    In: Graz Economics Papers.
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  24. Global, local, and contagious investor sentiment. (2012). Yuan, Yu ; Wurgler, Jeffrey ; Baker, Malcolm.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:104:y:2012:i:2:p:272-287.

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  25. CISS - a composite indicator of systemic stress in the financial system. (2012). Lo Duca, Marco ; Kremer, Manfred ; Hollo, Daniel .
    In: Working Paper Series.
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  26. Extreme Correlation of Stock and Bond Futures Markets: International Evidence. (2012). Yang, Jian ; Chui, Chin Man.
    In: The Financial Review.
    RePEc:bla:finrev:v:47:y:2012:i:3:p:565-587.

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  27. Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Christoffersen, Peter ; Errunza, Vihang ; Jacobs, Kris ; Langlois, Hugues.
    In: CREATES Research Papers.
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  28. Stocks, bonds, money markets and exchange rates: measuring international financial transmission. (2011). Rigobon, Roberto ; Fratzscher, Marcel ; Ehrmann, Michael.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:26:y:2011:i:6:p:948-974.

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  29. The effect of Emu on bond market integration and investor portfolio allocations. (2011). Pieterse-Bloem, M..
    In: Other publications TiSEM.
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  30. A component model for dynamic correlations. (2011). Engle, Robert ; Colacito, Riccardo ; Ghysels, Eric.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:164:y:2011:i:1:p:45-59.

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  31. Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models. (2011). Chevallier, Julien.
    In: Economic Modelling.
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  32. Aggregate Idiosyncratic Volatility. (2010). zhang, xiaoyan ; Hodrick, Robert ; Bekaert, Geert.
    In: CEPR Discussion Papers.
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  33. Monetary Policy Shocks and Portfolio Choice. (2010). Straub, Roland ; Saborowski, Christian ; Fratzscher, Marcel.
    In: CEPR Discussion Papers.
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  34. European sovereign bond spreads: monetary unification, market conditions and financial integration.. (2010). Migiakis, Petros ; Georgoutsos, Dimitris.
    In: Working Papers.
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  35. Predictable return distributions. (2010). Pedersen, Thomas.
    In: CREATES Research Papers.
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  36. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds. (2009). Viceira, Luis ; Campbell, John ; Sunderam, Adi.
    In: NBER Working Papers.
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  37. Time Variation in Asset Return Dependence: Strength or Structure?. (2009). van Dijk, Dick ; Kole, Erik ; Kole, H. J. W. G., ; van Dijk, D. J. C., ; Markwat, T. D..
    In: ERIM Report Series Research in Management.
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  38. Monetary Policy Shocks and Portfolio Choice. (2009). Straub, Roland ; Saborowski, Christian ; Fratzscher, Marcel.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20091122.

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  39. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds. (2008). Viceira, Luis ; Campbell, John ; Sunderam, Adi.
    In: 2008 Meeting Papers.
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  40. The Propagation of Financial Extremes: An Application to Subprime Market Spillovers. (2008). Chollete, Loran .
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2008_002.

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  41. Assessing the benefits of international portfolio diversification in bonds and stocks.. (2008). Sarno, Lucio ; De Santis, Roberto A.
    In: Working Paper Series.
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    RePEc:iek:wpaper:0715.

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  30. New Evidence on Inflation Persistence and Price Stickiness in the Euro Area: Implications for Macro Modeling. (2006). Smets, Frank ; Levin, Andrew ; Gali, Jordi ; Ehrmann, Michael ; Angeloni, Ignazio ; Aucremanne, Luc .
    In: Journal of the European Economic Association.
    RePEc:tpr:jeurec:v:4:y:2006:i:2-3:p:562-574.

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  31. Inflation Dynamics in the Euro Area and the Role of Expectations. (2006). Paloviita, Maritta.
    In: Empirical Economics.
    RePEc:spr:empeco:v:31:y:2006:i:4:p:847-860.

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  32. Optimising Microfoundations for Inflation Persistence. (2006). Mash, Richard.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:457.

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  33. Inflation persistence and price-setting behaviour in the euro area : a summary of the Inflation Persistence Network evidence. (2006). Smets, Frank ; Ehrmann, Michael ; Altissimo, Filippo .
    In: Working Paper Research.
    RePEc:nbb:reswpp:200610-7.

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  34. Inflation persistence and price-setting behaviour in the euro area – a summary of the IPN evidence. (2006). Smets, Frank ; Ehrmann, Michael ; Altissimo, Filippo .
    In: Occasional Paper Series.
    RePEc:ecb:ecbops:20060046.

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  35. The New Keynesian Phillips Curve and the Role of Expectations: Evidence from the Ifo World Economic Survey. (2006). Wollmershäuser, Timo ; Henzel, Steffen ; Wollmershauser, Timo.
    In: CESifo Working Paper Series.
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  36. Inflation Forecasts and the New Keynesian Phillips Curve. (2006). Brissimis, Sophocles ; Magginas, Nicholas S..
    In: Working Papers.
    RePEc:bog:wpaper:38.

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  37. The role of expectations in the inflation process in the euro area. (2005). Paloviita, Maritta ; Viren, Matti.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0508031.

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  38. Adaptive Learning and Inflation Persistence. (2005). Milani, Fabio.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0506013.

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  39. New evidence on inflation persistence and price stickiness in the Euro area: Implications for macro modelling. (2005). Smets, Frank ; Levin, Andrew ; Gali, Jordi ; Ehrmann, Michael ; Angelloni, Ignazio ; Aucremanne, Luc .
    In: Economics Working Papers.
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  40. The use of real-time information in Phillips-curve relationships for the euro area. (2005). Paloviita, Maritta ; Mayes, David.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:16:y:2005:i:3:p:415-434.

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  41. Subjective Expectations and New Keynesian Phillips Curves in Europe. (2005). Gorter, Janko.
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:049.

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  42. An Alternative to the Carlson-Parkin Method for the Quantification of Qualitative Inflation Expectations: Evidence from the Ifo World Economic Survey. (2005). Wollmershäuser, Timo ; Henzel, Steffen ; Wollmershauser, Timo.
    In: ifo Working Paper Series.
    RePEc:ces:ifowps:_9.

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  43. Comparing alternative Phillips curve specifications : European results with survey-based expectations. (2005). Paloviita, Maritta.
    In: Research Discussion Papers.
    RePEc:bof:bofrdp:2005_022.

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  44. The role of expectations in the inflation process in the euro area. (2005). Paloviita, Maritta ; Viren, Matti.
    In: Research Discussion Papers.
    RePEc:bof:bofrdp:2005_006.

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  45. Inflation in mainland China : modelling a roller coaster ride. (2005). Funke, Michael.
    In: BOFIT Discussion Papers.
    RePEc:bof:bofitp:2005_006.

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  46. The role of expectations in euro area inflation dynamics. (2005). Paloviita, Maritta.
    In: Scientific Monographs.
    RePEc:bof:bofism:2005_032.

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  47. New Evidence on Inflation Persistence and Price Stickiness in the Euro Area: Implications for Macro Modelling. (2005). Smets, Frank ; Levin, Andrew ; Ehrmann, Michael ; Angeloni, Ignazio ; Aucremanne, Luc ; Gali, Jordi.
    In: Working Papers.
    RePEc:bge:wpaper:242.

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  48. Optimising Microfoundations for Inflation Persistence. (2004). Mash, Richard.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:183.

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  49. Perpetual youth and endogenous labour supply: a problem and a possible solution. (2004). Rankin, Neil ; Ascari, Guido.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004346.

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  50. Inflation dynamics in the euro area and the role of expectations : further results. (2004). Paloviita, Maritta.
    In: Research Discussion Papers.
    RePEc:bof:bofrdp:2004_021.

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