We propose a nonparametric procedure to test for changes in correlation matrices at an unknown point in time. The new …

We propose a novel and easy-to-implement framework for forecasting correlation risks based on a large set of salient … realized correlation features and the sparsity-encouraging LASSO technique. Considering the universe of S&P 500 stocks, we find …

. These seven scripts contain the Dynamic Conditional Correlation (DCC) framework, Instantaneous Frequency Forecasting (IFF … RCR framework to forecast covariance and correlation structures and finally apply portfolio weighting strategies based on …

stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …

stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …

use these to create hypothetical inflation-linked bond returns. We compare these with the return on actual inflation …-linked bond returns on a recent sample and find that surveys of professional forecasters and moving average models perform best …. We confirm these findings for a sample of 19 international inflation-linked bond markets. Using surveys of professional …

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …

apply the model to forecast US bond risk premia, and find that the observed macroeconomic characteristics contain strong …

), two-stage least squares (2SLS), and generalized method of moment (GMM) estimators. Using both stock and bond data, our …

This paper builds a general test of contagion in financial markets based on bivariate correlation analysis - a test … that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in … contributions in the literature as special cases of our test. We show that, while the literature on correlation analysis of …