return. This approach yields a model-free test for stock return asymmetry, generalizing the correlation-based test proposed …

underestimating risk exposure. We propose an alternative estimation procedure incorporating readily available primary market data from …

that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low … frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

This paper studies the pricing of long and short run variance and correlation risk. The predictive power of the market … variance risk premium for returns is driven by the correlation risk premium and the systematic part of individual variance … volatility and correlation are priced. Both long and short run volatility and correlation factors have explanatory power for …

Although there is an extensive literature on the impact of volatility on asset returns correlation, investigating this … analysis between rolling correlation and volatility index (VIX). Results showed more impact of volatility on the midterm … horizon, such as 1 year, possibly meaning that for longer periods, structural economic factors impact correlation …

the subject. Theory suggests that stock market performance has positive relationship with GDP, Money Supply, Industrial …