News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets
Using monthly stock and bond returns data from both the USA and the UK, this study addresses the issue of whether news implied volatility and its main components have affected in any significant manner the time-varying stock–bond covariance, their returns and their variances. The time varying associ...
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| Main Authors: | , , , |
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| Format: | Default Article |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://hdl.handle.net/2134/35697 |
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