frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long … 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 …

measuring the contemporaneous correlation between the return shock and the volatility shock. We show that the contemporaneous … correlation can be quantified within an EGARCH model, where the composite disturbance to the return follows a normal log … the contemporaneous correlation being negative and the ARCH-M effect being positive …

time-varying extreme correlation of stock-bond futures markets. There is evidence of positive extreme correlation between …, German stock-bond futures extreme correlation is negative, which suggests most diversification potentials of German bond … uncertainty all significantly affect the median stock-bond futures correlation. By contrast, only the stock market uncertainty …

year. To capture the commonality in idiosyncratic volatility, we propose the Dynamic Factor Correlation model, which …Commonality in idiosyncratic volatility cannot be completely explained by time-varying volatility. We decompose the … common factor in idiosyncratic volatility (CIV) of Herskovic et al. (2016) into two components: idiosyncratic volatility …

, 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 …

We use wavelet analysis to examine the impact of macro-news announcements on the stock-bond correlation. Significant … model specifications, volatility effects and other robustness considerations continue to support our results. These results …

while adjusting for the volatility risk premium. Relative model performance does not change during the global financial …

We investigate the sources of time-variation in the stock-oil correlation over the period 1983-2019. We first derive a …. We find that about 79% of the time-varying correlation is related to the comovement of cash flow news between the two …

this method to equity and index options shows that, while multivariate diffusion models with constant correlation fail to … correlation patterns compatible with observed prices of index options. Our method allows, as a by product, to quantify this model …