Fig. 3

(a-c) Ex-post covariance—full sample. Notes: The estimates of the ex-post covariance are calculated as the product of the residuals of the zero stage regressions: \( \widetilde {Cov_{t}} \left (r_{t+1}^{\omega }, \triangle e_{t+1} \right) \equiv \hat {\epsilon }_{t+1}^{r} \hat {\epsilon }_{t+1}^{e}\), where \(\hat {\epsilon }_{t+1}^{r}\) and \(\hat {\epsilon }_{t+1}^{e}\) are the residuals in Eqs. (6) and (7). The zero stage regressions are estimated using the full sample, which consists of 259 observations