Table 5. Panel a): estimated... | Emerald Publishing

Table 5.

Panel a): estimated coefficients for the DCC-X specifications relative to the stocks-Tbond correlations. Panel b): estimated coefficients for the DCC-X specifications augmented with VIX and EPU. Robust standard errors (White, 1980) are reported in parentheses. Sample period: January 2, 2015 – April 30, 2025

Coefficient	DCC	$D C C - X_{T P U}$	$D C C - X_{D u m m y}$	$D C C - X_{T P U \times D u m m y}$	$D C C - X_{F u l l}$
Panel a) Robustness check: 10-year Treasury Bond
$θ_{1}$	0.0537 (0.0050)	0.0513 (0.0049)	0.0522 (0.0049)	0.0506 (0.0050)	0.0521 (0.0052)
$θ_{2}$	0.9235 (0.0084)	0.9243 (0.0086)	0.9214 (0.0088)	0.9241 (0.0089)	0.0927 (0.0090)
$θ_{3}$		0.0202 (0.0093)	0.0066 (0.0024)	0.0404 (0.0124)	−0.0244 (0.0137)
$θ_{4}$					0.0020 (0.0038)
$θ_{5}$					0.0582 (0.0236)
Panel b) Robustness check: VIX and EPU
$θ_{1}$		0.0440 (0.0053)	0.0469 (0.0050)	0.0441 (0.0053)	0.0439 (0.0053)
$θ_{2}$		0.9322 (0.0101)	0.9283 (0.0096)	0.9303 (0.0105)	0.9310 (0.0104)
$θ_{3}$		0.0424 (0.0107)	0.0060 (0.0025)	0.0508 (0.0120)	0.0108 (0.0178)
$θ_{4}$					0.0000 (0.0030)
$θ_{5}$					0.0409 (0.0226)
VIX		0.3174 (0.1137)	0.3376 (0.1261)	0.4946 (0.1229)	0.4466 (0.1385)
EPU		−0.0580 (0.0107)	−0.0497 (0.0155)	−0.0717 (0.0123)	−0.0689 (0.0126)

Coefficient	DCC	$D C C - X_{T P U}$	$D C C - X_{D u m m y}$	$D C C - X_{T P U \times D u m m y}$	$D C C - X_{F u l l}$
Panel a) Robustness check: 10-year Treasury Bond
$θ_{1}$	0.0537 (0.0050)	0.0513 (0.0049)	0.0522 (0.0049)	0.0506 (0.0050)	0.0521 (0.0052)
$θ_{2}$	0.9235 (0.0084)	0.9243 (0.0086)	0.9214 (0.0088)	0.9241 (0.0089)	0.0927 (0.0090)
$θ_{3}$		0.0202 (0.0093)	0.0066 (0.0024)	0.0404 (0.0124)	−0.0244 (0.0137)
$θ_{4}$					0.0020 (0.0038)
$θ_{5}$					0.0582 (0.0236)
Panel b) Robustness check: VIX and EPU
$θ_{1}$		0.0440 (0.0053)	0.0469 (0.0050)	0.0441 (0.0053)	0.0439 (0.0053)
$θ_{2}$		0.9322 (0.0101)	0.9283 (0.0096)	0.9303 (0.0105)	0.9310 (0.0104)
$θ_{3}$		0.0424 (0.0107)	0.0060 (0.0025)	0.0508 (0.0120)	0.0108 (0.0178)
$θ_{4}$					0.0000 (0.0030)
$θ_{5}$					0.0409 (0.0226)
VIX		0.3174 (0.1137)	0.3376 (0.1261)	0.4946 (0.1229)	0.4466 (0.1385)
EPU		−0.0580 (0.0107)	−0.0497 (0.0155)	−0.0717 (0.0123)	−0.0689 (0.0126)

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