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Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - School of Economics and Management, University of Aarhus - 2014

We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized...

Persistent link: https://www.econbiz.de/10010851206

Are Economists More Likely to Hold Stocks?

Christiansen, Charlotte; Joensen, Juanna Schröter; … - School of Economics and Management, University of Aarhus - 2007

model the stock market participation decision by a probit model with unobserved individual heterogeneity. This model allows … us to control for both observable and unobservable investor characteristics. Thirdly, instrumental variables estimation …

Persistent link: https://www.econbiz.de/10005787565