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 …

) 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 …

interval representing the LSTM's parameter uncertainty. Finally, resulting death rates are showed through a back …

In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on … macroeconomic uncertainty. We use the mixed data sampling (MIDAS) econometric approach. The findings are in accordance with the … flight-to-quality phenomenon when macroeconomic uncertainty is high …

This paper derives ex-ante standard errors of risk premium predictions from neural networks (NNs). Considering standard … that have precise risk premia earns an OOS average monthly return of 3.61% (2.21%). In contrast, the conventional high …-low portfolio yields 2.52% (1.48%). Existing OOS inferences do not account for ex-ante estimation uncertainty and thus are not …