We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock-bond correlation. To … this type of uncertainty on realized stock-bond correlation and jumps. Our findings reveal that uncertainty … this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ …

results show that asymmetric models generally outperform symmetric ones, indicating that a correlation between volatility and …

positively correlated with economic policy uncertainty, however, are negatively correlated with the monetary policy and fiscal … policy uncertainties. Correlation coefficients between stock and bond returns are positively related to total policy … uncertainty for returns of the Dow-Jones Industrial Average (DJIA) and the S&P 500 Value stock index (VALUE), but negatively …

-month ahead returns. Our findings reinforce the investment concept that the markets compensate the high-risk portfolios more than …

nonlinearity, and improved out-of-sample prediction. This article conducted a comprehensive, objective, and quantitative …

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 …

nonlinearity, and improved out-of-sample prediction. This article conducted a comprehensive, objective, and quantitative …