The relationship between stock and bond returns is a fundamental determinant of risk in
traditional portfolios. For the first two decades of the 21st century, the stock–bond correlation …

The correlation between stock and bond returns is a cornerstone of asset allocation
decisions. History reveals abrupt regime shifts in correlation after long periods of relative …

This study investigates the use of a novel market graph model for equity markets. Our graph
model is built on distance correlation instead of the traditional Pearson correlation. We apply …

The authors introduce a new index of the business cycle that uses the Mahalanobis distance
to measure the statistical similarity of current economic conditions with past episodes of …

Sophisticated investors rely on scenario analysis to select portfolios. We propose a new
approach to scenario analysis that enables investors to consider sequential outcomes. We …

The Journal of Fixed Income (JFI) provides sophisticated analytical research and case
studies on bond instruments of all types—investment grade, high-yield, municipals, ABS and …

The traditional methods of estimating investment risk based on the observed variation of
asset prices falter on sparsely traded assets owing to the lack of price quotes. The price …

This thesis consists of three chapters, each of which explores separately the explanation,
prediction and application of the time-varying stock–bond correlation. In the first chapter …

In light of the Covid-19 crisis, the Federal Reserve (Fed) has carried out stress tests to
assess whether major banks have sufficient capital to ensure their viability should a new and …

Investors take for granted that returns are recorded in units of time, such as days, months, or
years. Yet some time periods include unusual events that reasonably cause asset prices to …