Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple … explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by … portfolios in terms of portfolio risk. While optimal daily weights minimize portfolio risk, we find that portfolio turnover and …

results show that asymmetric models generally outperform symmetric ones, indicating that a correlation between volatility and …

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

nonlinearity, and improved out-of-sample prediction. This article conducted a comprehensive, objective, and quantitative …

explain risk premium. Investigating whether these factors are useful in forecasting stock returns remains active research in …

. These seven scripts contain the Dynamic Conditional Correlation (DCC) framework, Instantaneous Frequency Forecasting (IFF …) framework, Regularised Covariance Regression (RCR) framework, Risk Premia Parity (RPP) weighting functions, Singular Spectrum … RCR framework to forecast covariance and correlation structures and finally apply portfolio weighting strategies based on …

. We apply these insights to analyze the implications of a shift in stock-bond correlation regime for the risk of multi …The correlation between stock and bond returns is a cornerstone of asset allocation decisions. The correlation can move … real returns on short-term bonds, and the uncertainty surrounding inflation as important factors for understanding the sign …