Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - School of Economics and Management, University of Aarhus - 2014
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 …-bond correlation is very different when estimated taking the macro-finance variables into account. Supporting the flight …
