same direction during periods of high inflation expectations, while epochs of negative stock-bond return correlation seem …This paper examines the impact of inflation and economic growth expectations and perceived stock market uncertainty on … the time-varying correlation between stock and bond returns. The results indicate that stock and bond prices move in the …

This paper adopts quantile regressions to scrutinize the realized stock-bond correlation based upon high frequency …

empirical analysis provides evidence for the inferred relationship between credit quality, recovery and correlation …

, 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 …