We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock-bond correlation. To … this type of uncertainty on realized stock-bond correlation and jumps. Our findings reveal that uncertainty … this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ …

results show that asymmetric models generally outperform symmetric ones, indicating that a correlation between volatility and …

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 …

positively correlated with economic policy uncertainty, however, are negatively correlated with the monetary policy and fiscal … policy uncertainties. Correlation coefficients between stock and bond returns are positively related to total policy … uncertainty for returns of the Dow-Jones Industrial Average (DJIA) and the S&P 500 Value stock index (VALUE), but negatively …

explain risk premium. Investigating whether these factors are useful in forecasting stock returns remains active research in …

. These seven scripts contain the Dynamic Conditional Correlation (DCC) framework, Instantaneous Frequency Forecasting (IFF …) framework, Regularised Covariance Regression (RCR) framework, Risk Premia Parity (RPP) weighting functions, Singular Spectrum … RCR framework to forecast covariance and correlation structures and finally apply portfolio weighting strategies based on …

interval representing the LSTM's parameter uncertainty. Finally, resulting death rates are showed through a back …