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 …

positively correlated with economic policy uncertainty, however, are negatively correlated with the monetary policy and fiscal … policy uncertainties. Correlation coefficients between stock and bond returns are positively related to total policy … uncertainty for returns of the Dow-Jones Industrial Average (DJIA) and the S&P 500 Value stock index (VALUE), but negatively …

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

correlation predictions. The volatilities are here forecast using hybrid neural networks while correlations follow a traditional …

for a mean-variance investor, regardless of her level of risk aversion and whether she can take short positions …

-month ahead returns. Our findings reinforce the investment concept that the markets compensate the high-risk portfolios more than …

components and the mixed-sign component load differently on economic information concerning stochastic correlation and jumps. The …

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