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...

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...

This paper adopts quantile regressions to scrutinize the realized stock-bond correlation based upon high frequency returns. The paper provides in-sample and out-of-sample analysis and considers factors constructed from a large number of macro-finance predictors well-know from the return...

We use economic policy uncertainty (EPU) shocks in combination with the mixed data sampling (MIDAS) approach to investigate long-run stock market variances and correlations, primarily for the US and the UK. The US long-run stock market variance depends significantly on US EPU shocks but not on...