explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by …Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple … new DCC-MIDAS model, we construct stock-bond hedge portfolios and show that these portfolios outperform various benchmark …

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-bond …

filters out noise and provide evidence that it predicts bond risk premia well. This result holds in developed and emerging … that oil price increases are associated with subsequent higher bond returns. Besides, we demonstrate that not all oil price … shocks are alike: Although oil demand and supply shocks have opposite implications for economic activity and bond risk premia …

kernel-based methods discussed in Giraitis et al. (2018), but relying on the estimation approach put forward in Morf et al …-varying compensation for expected and unexpected inflation shocks embedded in the sovereign bond yields of Germany, France, Japan and the … United States. Our empirical results suggest that the current environment of very low nominal sovereign bond yields, is a …

countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our …

) stock-bond correlation forecasts falling 10-year interest rates over the coming weeks, and it also forecasts a falling 1 …-year interest rates over the next year. The reverse is true when the stock-bond correlation is higher (more positive … markets and/or policymakers' under-reaction to the changing economic conditions implied by the stock-bond correlation; and (2 …

bivariate testing for cointegration and correlation analysis. The results indicate that there exist strong long … doubt on its validity for securitized real estate markets. -- Cointegration ; Correlation Analysis ; Diversification …

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China … across markets, with the highest correlation of 93.5% between the two Chinese markets, medium correlation of 30% between … correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …

significantly on both US and UK EPU shocks. The long-run correlation depends positively on the US EPU shocks. The dependence is … US EPU shocks perform well in predicting correlation. We further analyze categorical EPU shocks and several global stock …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …