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 …

propose a coskewness-volatility-managed momentum strategy that reduces the reversal risk of the baseline WML strategy by 61 …% and that of the volatility-managed momentum strategy (Barosso and Santa-Clara, 2015) by 20% for US stocks. The returns of … our strategy generate a slightly positive skewness in contrast with the negative skewness of the WML and volatility …