The price of equity equals the risk-adjusted present discounted value of cash-flows. Discount factors depend upon the … volatilities and the stock-bond correlation. I show that the stock-bond correlation increases in interest rate volatility and … decreases in cash-flow volatility. These results qualitatively explain the historical variation in the stock-bond correlation …

We investigate long-run stock-bond correlation using a model that combines the dynamic conditional correlation model … with the mixed-data sampling approach and allows long-run correlation to be affected by macro-finance factors (historical …, and market uncertainty. Macro-finance factors, particularly their forecasts, are good at forecasting long-run stock …

predict realized correlations. This paper considers a MIDAS approach to forecast realized correlation matrices. A MIDAS model …

Many financial decisions such as portfolio allocation, risk management, option pricing and hedge strategies are based …