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 … portfolios in terms of portfolio risk. While optimal daily weights minimize portfolio risk, we find that portfolio turnover and …

provides an implicit hedge of one asset to the other, dampening overall portfolio risk. A shift in local stock-bond correlation …Stock-bond correlation is considered an important input for multi-asset portfolio construction. While there has been … much research on US stockbond correlation, less work has focused on stock-bond correlations in other countries, their …

relationship between transparency and market efficiency. Design/methodology/approach - Correlation analysis has been conducted … intermediate negative correlation has been found between CPI scores and predictability levels of stock indices. Considering the …

assessing long-term risk as suggested by Warren Buffett; that is, with the probability of losing purchasing power. If risk is …

to hedge downside risks associated with portfolios. Our findings are of interest to regulators, risk managers, investors …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …