We investigate if asset return volatility is predictable by macroeconomic and financial variables and shed light on the economic drivers of financial volatility. Our approach is distinct due to its comprehensiveness: First, we employ a data-rich forecast methodology to handle a large set of...

This paper explores the time variation in the stock-bond correlation using high-frequency data. Gradual transitions between regimes of negative and positive stock-bond correlation are well accommodated by the smooth transition regression (STR) model. We find that the regimes are systematically...