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Stock-bond correlation, Business cycle, Asymmetry, Smooth transition, GARCH
CAPM, ICAPM, Fama and French Three Factors, Stock Market Return Predictability, Realized Volatility, and GARCH, Value Premium
regime-switching, conditional co-skewness, intertemporal asset pricing, stock and bond co-movements
Market linkages, emerging stock markets, generalized impulse response analysis, generalized forecast error variance decomposition, rolling VAR analysis
market linkages, emerging stock markets, generalized impulse response analysis, generalized forecast error variance decomposition, rolling VAR analysis
interest rate linkages, Granger causality, forecasting evaluation, contemporaneous correlation, directed acyclic graphs
Habit Formation, Time-Varying Risk Aversion, Countercyclical Sharpe Ratio, Limited Stock Market Participation, Illiquidity Premium, ICAPM, Conditional CAPM, Nonparametric and Semiparametric Models
fiscal deficits, monetary policy, stock market, semiparametric estimation
ICAPM, value premium, stock return predictability, realized variance, and GARCH
dynamic panel, Tobit, Medicare, persistence
Inflation transmission, directed acyclic graphs, forecast error variance decomposition, recursive estimation, impulse responses
exchange rates, forward market, term structure, cointegration, structural breaks
Deficits, debt, interest rate
Information criteria, model selection, multiple structural changes
Risk-return tradeoff, time variation, market states, mixed data sampling
