Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/179276 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
Discussion Paper Series No. 636
Verlag: 
University of Heidelberg, Department of Economics, Heidelberg
Zusammenfassung: 
Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by inflation and interest rate expectations as well as a flight-to-safety during times of stress in financial markets. Based on the new DCC-MIDAS model, we construct stock-bond hedge portfolios and show that these portfolios outperform various benchmark portfolios in terms of portfolio risk. While optimal daily weights minimize portfolio risk, we find that portfolio turnover and trading costs can be substantially reduced when switching to optimal monthly weights.
Schlagwörter: 
Stock-bond correlation
DCC
DCC-MIDAS
survey data
macro expectations
forecasting
portfolio choice
asset allocation
JEL: 
C32
C58
E44
E52
G11
G15
G17
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.71 MB





Publikationen in EconStor sind urheberrechtlich geschützt.