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 …

realized correlation and volatility. Using a simple ordinary least squares (OLS) regression framework, correlations are shown …

's information set for the myopic stock-bond portfolio. In-sample I find that the best forecast of the volatility and correlation is … value of timing stock-bond correlation using analyst forecasts is 1.56% annually. Robustness checks highlight the use of …