Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

Abstract

1 Software used in the estimation of this paper can be found at http://weber.ucsd.edu/~ksheppar in the research section. Kevin Sheppard would like to acknowledge financial support from the European Central Bank. While all efforts have been made to ensure that there are no errors in the paper, remaining errors are the sole responsibility of the authors. The opinions expressed herein are those of the authors and do not necessarily represent those of the European Central Bank. This paper can be downloaded without charge from