Investors rely on the stock-bond correlation for a variety of tasks, such as forming optimal portfolios, designing … hedging strategies, and assessing risk. Most investors estimate the stock-bond correlation simply by extrapolating the … historical correlation of monthly returns and assume that this correlation best characterizes the correlation of future, annual …

the time-varying correlation of US stock and bond returns. Key ingredients are time-varying first and second moments of … macroeconomic volatility. This generates a positive correlation between dividend yields and nominal yields and between stock and …

, 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 …

The stock-bond correlation has been related to market uncertainty and macroeconomic variables. In this paper, we focus … on the common pricing process of Greek stocks and bonds, through the correlation of their returns. We derive dynamic … the Greek stock-bond correlation are explained by several risk factors, related to liquidity and market’s uncertainty …

This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional …) approaches to investigate dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets … for a specific time horizon and present time-varying volatility and dynamic conditional correlation, while volatility …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

estimates of Asymmetric Dynamic Conditional Correlation Model, which allows correlations to change, have been used to test if …

We examine whether average country-level stock market correlation is related to global equity returns. Previous … research focusing on the U.S. suggests that average firm-level correlation captures some of the risk not accounted for by other …-level correlation does not appear to be related to global returns, and that the Roll (1977) critique is not responsible for this lack of …