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

We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock-bond correlation. To … this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ … this type of uncertainty on realized stock-bond correlation and jumps. Our findings reveal that uncertainty …