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2. Time-varying risk of nominal bonds: How important are macroeconomic shocks?. (2022). Ermolov, Andrey.
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3. Determinants of stock-bond market comovement in the Eurozone under model uncertainty. (2019). Skintzi, Vasiliki D.
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41. Next, we need to derive an expression for ρSB,t+k|τ−1. Again, as in Engle (2008), we use the approximation ρSB,t+k|τ−1 = E[ZS,t+k−1ZB,t+k−1|Fτ−1] ≈ E[qSB,t+k|Fτ−1]. Engle and Sheppard (2005) show that this approximation works well if the diagonal elements of Qt are close to one and k is large. Finally, we apply the approximation to equation (4) and obtain ρSB,t+k|τ−1 ≈ ρ̄SB,τ + (αSB + βSB)(ρSB,t+k−1|τ−1 − ρ̄SB,τ ) (28) = ρ̄SB,τ + (αSB + βSB)k−1 (ρSB,t+1|τ−1 − ρ̄SB,τ ). (29) B Tables
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42. Paye, B.S., 2012. ‘Déja Vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables. Journal of Financial Economics, 106, 527-546.

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47. Yang, J., Zhou, Y., Wang, Z., 2009. The stock-bond correlation and macroeconomic conditions: One and a half centuries of evidence. Journal of Banking and Finance, 33, 670-680. A Construction of Monthly Covariance Forecasts We define monthly stock and bond returns as rS,τ = N(τ) X k=1 rS,t+k and rB,τ = N(τ) X k=1 rB,t+k, where day t denotes the last day of month τ − 1. The covariance between monthly stock and bond returns can be written as Cov(rS,τ , rB,τ |Fτ−1) = N(τ) X k=1 Cov(rS,t+k, rB,t+k|Fτ−1) (24) = N(τ) X k=1 E(ZS,t+kZB,t+k p hS,t+khB,t+k|Fτ−1) (25) ≈ N(τ) X k=1 E(ZS,t+kZB,t+k|Fτ−1) q hS,t+k|τ−1hB,t+k|τ−1 (26) = N(τ) X k=1 ρSB,t+k|τ−1 q hS,t+k|τ−1hB,t+k|τ−1 (27) where the first line follows because rS,t+k and rB,t+j are uncorrelated for k 6= j and the approximation in equation (26) is based on a first order Taylor series expansion of E(ZS,t+kZB,t+k p
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1. Quantile Risk–Return Trade-Off. (2021). Savva, Christos ; Christiansen, Charlotte ; Aslanidis, Nektarios.
   In: JRFM.
   RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:249-:d:568106.

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2. Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models. (2020). Umlandt, Dennis.
   In: Working Paper Series.
   RePEc:trr:qfrawp:202006.

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3. The Conditional Risk and Return Trade-Off on Currency Portfolios. (2020). Sakemoto, Ryuta ; Byrne, Joseph ; Joseph, Byrne.
   In: MPRA Paper.
   RePEc:pra:mprapa:99497.

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4. Treasury Inconvenience Yields during the COVID-19 Crisis. (2020). Nagel, Stefan ; He, Zhiguo ; Song, Zhaogang.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:27416.

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5. Stock market uncertainty, volatility connectedness of financial institutions, and stock-bond return correlations. (2020). Lee, Hsiu-Chuan ; Hsu, Chih-Hsiang ; Lien, Donald.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:70:y:2020:i:c:p:600-621.

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6. Treasury Inconvenience Yields during the COVID-19 Crisis. (2020). He, Zhiguo ; Nagel, Stefan ; Song, Zhaogang.
   In: Working Papers.
   RePEc:bfi:wpaper:2020-79.

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7. Equity tail risk in the treasury bond market. (2020). Ruzzi, Dario ; Rubin, Mirco.
   In: Temi di discussione (Economic working papers).
   RePEc:bdi:wptemi:td_1311_20.

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8. Equity Tail Risk in the Treasury Bond Market. (2020). Rubin, Mirco ; Ruzzi, Dario.
   In: Papers.
   RePEc:arx:papers:2007.05933.

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9. Global Price of Risk and Stabilization Policies. (2019). Adrian, Tobias ; Vogt, Erik ; Stackman, Daniel.
   In: IMF Economic Review.
   RePEc:pal:imfecr:v:67:y:2019:i:1:d:10.1057_s41308-019-00075-3.

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10. Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles. (2019). Hasler, Michael ; Carlin, Bruce ; Andrei, Daniel.
    In: Management Science.
    RePEc:inm:ormnsc:v:65:y:2019:i:6:p:2900-2923.

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11. Deconstructing the yield curve. (2019). Gospodinov, Nikolay ; Crump, Richard.
    In: Staff Reports.
    RePEc:fip:fednsr:884.

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12. A regime switching skew-normal model of contagion. (2019). Fry-McKibbin, Renee ; Chan, Joshua ; Yu-Ling, Hsiao Cody ; Renee, Fry-Mckibbin.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:23:y:2019:i:1:p:24:n:3.

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13. Vulnerable Growth. (2019). Giannone, Domenico ; Boyarchenko, Nina ; Adrian, Tobias.
    In: American Economic Review.
    RePEc:aea:aecrev:v:109:y:2019:i:4:p:1263-89.

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14. “Scaling Down Downside Risk with Inter-Quantile Semivariances”. (2018). Uribe, Jorge.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201826.

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15. Changing risk-return profiles. (2018). Hundtofte, C. ; Giannone, Domenico ; Crump, Richard.
    In: Staff Reports.
    RePEc:fip:fednsr:850.

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16. Vulnerable Growth. (2017). Giannone, Domenico ; Boyarchenko, Nina ; Adrian, Tobias.
    In: 2017 Meeting Papers.
    RePEc:red:sed017:1317.

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17. Variance Risk Premia on Stocks and Bonds. (2017). Mueller, Philippe ; Vedolin, Andrea ; Whelan, Paul ; Sabtchevsky, Petar.
    In: 2017 Meeting Papers.
    RePEc:red:sed017:1161.

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18. Vulnerable growth. (2017). Giannone, Domenico ; Boyarchenko, Nina ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:794.

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19. Unfolded risk-return trade-offs and links to Macroeconomic Dynamics. (2017). Liu, Xiaochun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:82:y:2017:i:c:p:1-19.

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20. The financial stability dark side of monetary policy. (2017). Venditti, Fabrizio ; Conti, Antonio ; Alessandri, Piergiorgio.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1121_17.

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21. On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin .
    In: Working Papers.
    RePEc:awi:wpaper:0636.

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22. Vulnerable Growth. (2016). Giannone, Domenico ; Boyarchenko, Nina ; Adrian, Tobias.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11583.

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23. The Financial Stability Dark Side of Monetary Policy. (2016). Venditti, Fabrizio ; Conti, Antonio ; Alessandri, Piergiorgio.
    In: BCAM Working Papers.
    RePEc:bbk:bbkcam:1601.

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24. A global factor in variance risk premia and local bond pricing. (2015). Roberts-Sklar, Matt ; Kaminska, Iryna.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0576.

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