Department of Economics and Business Economics

Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification

Research output: Working paperResearch

Standard

Macro-Finance Determinants of the Long-Run Stock-Bond Correlation : The DCC-MIDAS Specification. / Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

Research output: Working paperResearch

Harvard

Asgharian, H, Christiansen, C & Hou, AJ 2014 'Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Asgharian, H., Christiansen, C., & Hou, A. J. (2014). Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2014-13

CBE

Asgharian H, Christiansen C, Hou AJ. 2014. Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Asgharian, Hossein, Charlotte Christiansen and Ai Jun Hou Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2014-13). 2014., 38 p.

Vancouver

Asgharian H, Christiansen C, Hou AJ. Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification. Aarhus: Institut for Økonomi, Aarhus Universitet. 2014 Apr 11.

Author

Asgharian, Hossein ; Christiansen, Charlotte ; Hou, Ai Jun. / Macro-Finance Determinants of the Long-Run Stock-Bond Correlation : The DCC-MIDAS Specification. Aarhus : Institut for Økonomi, Aarhus Universitet, 2014. (CREATES Research Papers; No. 2014-13).

Bibtex

@techreport{e9333aaa8bc3412ab0bf0689ed54582a,
title = "Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification",
abstract = "We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized correlation itself. Macro-finance variables and the lagged realized correlation are simultaneously significant in forecasting the long-run stock-bond correlation. The behavior of the long-run stock-bond correlation is very different when estimated taking the macro-finance variables into account. Supporting the flight-to-quality phenomenon for the total stock-bond correlation, the long-run correlation tends to be small/negative when the economy is weak",
keywords = "DCC-MIDAS model, Long-run correlation, Macro-finance variables, Stock-bond correlation, DCC-MIDAS model, Long-run correlation, Macro-finance variables, Stock-bond correlation",
author = "Hossein Asgharian and Charlotte Christiansen and Hou, {Ai Jun}",
year = "2014",
month = apr,
day = "11",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2014-13",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Macro-Finance Determinants of the Long-Run Stock-Bond Correlation

T2 - The DCC-MIDAS Specification

AU - Asgharian, Hossein

AU - Christiansen, Charlotte

AU - Hou, Ai Jun

PY - 2014/4/11

Y1 - 2014/4/11

N2 - We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized correlation itself. Macro-finance variables and the lagged realized correlation are simultaneously significant in forecasting the long-run stock-bond correlation. The behavior of the long-run stock-bond correlation is very different when estimated taking the macro-finance variables into account. Supporting the flight-to-quality phenomenon for the total stock-bond correlation, the long-run correlation tends to be small/negative when the economy is weak

AB - We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized correlation itself. Macro-finance variables and the lagged realized correlation are simultaneously significant in forecasting the long-run stock-bond correlation. The behavior of the long-run stock-bond correlation is very different when estimated taking the macro-finance variables into account. Supporting the flight-to-quality phenomenon for the total stock-bond correlation, the long-run correlation tends to be small/negative when the economy is weak

KW - DCC-MIDAS model, Long-run correlation, Macro-finance variables, Stock-bond correlation

KW - DCC-MIDAS model

KW - Long-run correlation

KW - Macro-finance variables

KW - Stock-bond correlation

M3 - Working paper

T3 - CREATES Research Papers

BT - Macro-Finance Determinants of the Long-Run Stock-Bond Correlation

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -