Wu, Boyu; DiCiurcio, Kevin J.; Yeo, Beatrice; Wang, Qian - In: The journal of financial data science 4 (2022) 1, pp. 76-86
The stock-bond correlation is a cornerstone of every asset allocation decision, but estimating it reliably can prove to be challenging given the potential for co-movements to fluctuate significantly based on economic conditions. Using supervised machine learning techniques, this article presents...