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 …

crisis, or, if a different forecast horizon, or, intraday sampling frequency is employed, respectively. Finally, our evidence …

predictability, popular predictors from the literature fail to outperform the simple historical average benchmark forecast in out … model restrictions, forecast combination, diffusion indices, and regime shifts—improve forecasting performance by addressing …

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 …

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

breaks of different type in the conditional and unconditional correlation components by capturing abrupt regime switches in … the forecasting accuracy of the correlation component models by explicitly accounting for parameter instability over time …