Research output: Working paper › Research
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 paper › Research
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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 -