The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with … which allow for time-variability and regime changes in correlation. All estimated models allowing for timevarying … correlation complement each other in identifying time-varying patterns found in the (co-)movement between the variables …

results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

forecast errors to estimate measures of forecast uncertainty. This work addresses the question how the latter estimation can be … quantities. It turns out that the SUR estimator of forecast uncertainty tends to deliver large efficiency gains compared to the …

concerning forecast uncertainty in a new theoretical framework that focuses on the mean and variance of each density forecast to … that disagreement has no predictive content for ex-post forecast uncertainty under conditions which can be empirically …

uncertainty in an analysis of these policies. We model FG as an anticipated temporary interest rate peg. The degree of parameter … uncertainty is considerable and increasing in the length of FG. The probability of being able to reset prices and wages is the … most important factor driving uncertainty about inflation. In contrast, variations in financial intermediaries' net worth …

-variations in the relationship between systematic risk factors and corporate bond spreads. First, we apply Bayesian model averaging … to a battery of candidate variables for determining meaningful systematic risk factors. Second, Markov switching … market conditions, on the other. Our evidence for market indices of euro-denominated bonds suggests that systematic risk …