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 …

-GARCH model for volatility and DCC model for correlation to allow for inclusion of indexes that measure financial conditions. In … returns, especially during crises. Moreover, including the FCI in volatility and correlation modeling improves Value …

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 …

It is well known that the correlation between financial series varies over time. Here, the forecasting performance of … different time-varying correlation models is compared for cross-country correlations of weekly G5 and daily European stock … market indices. In contrast to previous studies only the correlation and not the entire covariance matrix is forecasted and …

In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices … various measures of correlation. Next, we assess to what extent correlations between oil and equity prices can be exploited … for asset allocation. We develop a time-varying Bayesian Dynamic Conditional Correlation model for volatilities and …