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 …

) stock-bond correlation forecasts falling 10-year interest rates over the coming weeks, and it also forecasts a falling 1 …-year interest rates over the next year. The reverse is true when the stock-bond correlation is higher (more positive …). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the …

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

Many financial decisions, such as portfolio allocation, risk management, option pricing and hedge strategies, are based …

Many financial decisions such as portfolio allocation, risk management, option pricing and hedge strategies are based …