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 …

developed economies (the United States, the United Kingdom, and Japan) to selected emerging markets (China, India, Thailand …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

We examine whether average country-level stock market correlation is related to global equity returns. Previous … research focusing on the U.S. suggests that average firm-level correlation captures some of the risk not accounted for by other …-level correlation does not appear to be related to global returns, and that the Roll (1977) critique is not responsible for this lack of …

The sign of the correlation between equity returns and exchange rate returns can be positive or negative in theory …

The sign of the correlation between equity returns and exchange rate returns can be positive or negative in theory …

pattern; (ii) the standard correlation explains variations in diversification benefits as well or better than more …