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 …

This paper investigates how the two technical drivers, volatility and correlation, influence the algorithm of the …, which are double sorted on volatility and correlation between 1990 and 2014. Our findings are robust to liquidity issues …

index. Sub-Saharan Africa is also part of this trend, but is a notable laggard. For instance, in 2010 the correlation with …

While the enlargement of the Euro area to new countries has reduced the average return correlation among member … countries, the financial crisis and the sovereign debt crisis have led to an increase in stock return correlation among old …' correlation with domestic assets. This evidence sheds light on the determinants of the sharp decline in bilateral equity …

pattern; (ii) the standard correlation explains variations in diversification benefits as well or better than more …

pandemic (period 2). Correlations are evaluated pre and post crises using both an 86-month correlation window for the whole … period and a 12-month rolling correlation window. To assess the benefits of diversification, several portfolios are built …