This paper examines the dynamic linkages among the European bond markets. We model
the price and volatility spillovers from the US bond market and the aggregate Euro area bond …

Most approaches in forecasting future correlation depend on the use of historical information
as their basic information set. Recently, there have been some attempts to use the notion of …

This paper examines the dynamic relationship between stock and bond returns in eleven
Eurozone countries during the last seventeen years. The literature so far reports …

We propose to adopt high-frequency DCC-MIDAS models to estimate high- and low-frequency
correlations in the 10-year government bond spreads for Belgium, France, Italy, the …

The availability of numerous modeling approaches for volatility forecasting leads to model
uncertainty for both researchers and practitioners. A large number of studies provide evidence …

This study explores the dynamic properties and predictability of the Realized Minimum Variance
Hedge Ratio (RMVHR), constructed from five-minute spot and future returns of two stock …

This article aims to investigate whether a wide variety of combination methods, ranging from
simple averaging approaches to time-varying techniques based on the past performance of …

This article attempts to examine the predictability of a significant number of uncertainty indices
for the G7 stock market volatility based on a Heterogeneous AutoRegressive Realized …

Reliable correlation forecasts are of paramount importance in modern risk management
systems. A plethora of correlation forecasting models have been proposed in the open literature, …

Trading activity in G7 stock markets reflects not only the macroeconomic and financial
impact of these G7 economies in international economic growth, but also their financial …