impact on stock return correlations than shocks to futures. We confirm the model predictions by studying the correlation of U …

The goal of this paper is to anchor a stochastic correlation model into the real-world multi-underlying equity … specifically look for a self-consistent mechanism to generate the implied correlation skew. We start with correlation model based … on the Jacobi process. In order to reach the steep short term index skew we extend it by adding jumps in correlation. The …

that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low … frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

measuring the contemporaneous correlation between the return shock and the volatility shock. We show that the contemporaneous … correlation can be quantified within an EGARCH model, where the composite disturbance to the return follows a normal log … the contemporaneous correlation being negative and the ARCH-M effect being positive …

time-varying extreme correlation of stock-bond futures markets. There is evidence of positive extreme correlation between …, German stock-bond futures extreme correlation is negative, which suggests most diversification potentials of German bond … uncertainty all significantly affect the median stock-bond futures correlation. By contrast, only the stock market uncertainty …