Fig. 4

(a-d) Ex-post covariance—subsamples. 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 equations (6) and (7). The zero stage regressions are estimated for each subsample separately. The first subsample (January 1990 to December 1998) consists of 107 observations and the second subsample (January 1999 to August 2011) consists of 152 observations