This paper explores the determinants of U.S. stock-bond correlations estimated at various frequencies. For this purpose, the two-component DCC-MIDAS model of correlation Colacito, Engle & Ghysels (2011) is used and extended to incorporate a third correlation frequency component. Subsequently,...

In this paper we study the investment dynamics employed by hedge fund managers. Using daily data for nine investable hedge fund strategies, we use a rolling-over regression technique, which allows us to capture the time-variability present in the different strategies of hedge fund managers. The...

This paper assesses the effects of monetary unification in Europe on the pricing behavior in financial markets and more in particular on excess returns. We use the standard IAPT framework to analyze the role of the exchange rate in separating excess return pricing accross European countries. We...