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

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 …

The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with … which allow for time-variability and regime changes in correlation. All estimated models allowing for timevarying … correlation complement each other in identifying time-varying patterns found in the (co-)movement between the variables …

components and the mixed-sign component load differently on economic information concerning stochastic correlation and jumps. The …

This paper aims to forecast the Market Risk premium (MRP) in the US stock market by applying machine learning …). Furthermore, Univariate ARMA and Exponential Smoothing models are also tested. The Market Risk Premium is defined as the … forecast the Market Risk Premium in a daily basis using Artificial Neural Networks (ANNs). Second, it is not based on a …