Global asset allocation provides risk diversification. But international market correlation increases sharply during … global crises and diversification benefit disappears when it is most needed. We model these correlation breaks and derive the … asset allocation implications. The model can quickly detect crises and suggests adapting allocation for changing correlation …

impact on stock return correlations than shocks to futures. We confirm the model predictions by studying the correlation of U …

that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low … frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

This paper explores the time variation in the stock-bond correlation using high-frequency data. Gradual transitions … between regimes of negative and positive stock-bond correlation are well accommodated by the smooth transition regression (STR …

This paper explores the time variation in the stock-bond correlation using high-frequency data. Gradual transitions … between regimes of negative and positive stock-bond correlation are well accommodated by the smooth transition regression (STR …

-wide shocks. Overall, the results suggest that asymmetric correlation in stock returns is asymmetric correlation in stock …

, the two-component DCC-MIDAS model of correlation Colacito, Engle & Ghysels (2011) is used and extended to incorporate a … third correlation frequency component. Subsequently, macroeconomic and financial variables are studied as determinants of … each component. We show that the daily correlation component is driven by financial market factors, while the monthly …