Dynamic correlation, Exogenous variables, DCCX, Macroeconomic Announcements, Diversification benefits. - In this …

, the two-component DCC-MIDAS model of correlation Colacito, Engle & Ghysels (2011) is used and extended to incorporate a … third correlation frequency component. Subsequently, macroeconomic and financial variables are studied as determinants of … each component. We show that the daily correlation component is driven by financial market factors, while the monthly …

sensitivity of corporate bond returns to changes in the value of equity (i.e., the hedge ratio). The correlation between stock 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 …