policy uncertainties. Correlation coefficients between stock and bond returns are positively related to total policy …

This paper employs the unrestricted extended constant conditional correlation GARCH specification proposed in Conrad …

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 …

securitized real estate and common stock markets. First, the volatility transmissions across markets are examined using an …

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China … across markets, with the highest correlation of 93.5% between the two Chinese markets, medium correlation of 30% between … correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …

This paper examines volatility transmission and conditional correlations behaviour between the US and the Asian stock … volatility transmission between the US and the Asian markets. Moreover, it is found that, after the crisis, volatility … the correlation with the US …

Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price … future economic activity are helpful predictors of changes in the oil-stock correlation. For the period 1993-2011 there is … strong evidence for counter cyclical behavior of the long-term correlation. For prolonged periods with strong growth above …

capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in … evidence for time-varying volatility in the yield factors. This is mostly true for the level and slope volatility revealing … also the highest persistence. It turns out that the inclusion of stochastic volatility improves the model's goodness …

In this paper, I study the drop of real GDP volatility which has been observed in the United States during the postwar … moderation ; Sectoral Shifts ; Stochastic Volatility ; Wishart Autoregressive Process ; Particle Filter ; ARCH-GARCH ; Bayesian …