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 …

It is well known that the correlation between financial series varies over time. Here, the forecasting performance of … different time-varying correlation models is compared for cross-country correlations of weekly G5 and daily European stock … market indices. In contrast to previous studies only the correlation and not the entire covariance matrix is forecasted and …

Investors rely on the stock-bond correlation for a variety of tasks, such as forming optimal portfolios, designing … hedging strategies, and assessing risk. Most investors estimate the stock-bond correlation simply by extrapolating the … historical correlation of monthly returns and assume that this correlation best characterizes the correlation of future, annual …

, industrials, consumer services, health care and financials. The analysis is carried out by using correlation analysis, ß … integration ; EU ; stock markets ; ß-convergence ; s-convergence ; correlation analysis …

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

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 …