Although the continua of radio-loud active galactic nuclei (AGNs) are typically dominated by synchrotron radiation over virtually the entire spectrum, it is not clear whether the radio and higher frequency emission originates in the same or different parts of the jet. In some inhomogeneous synchrotron source models, the radio and ultraviolet–optical–infrared emission may be co-spatial, depending on the model parameters considered. Indeed, several different radio–optical correlations based on polarization data have been found recently, suggesting that the optical and radio polarization may be closely related in some AGNs, and that the corresponding emission regions may be co-spatial. Our joint analysis of optical and 15 + 22 + 43 GHz Very Long Baseline Array (VLBA) polarization data for a sample of about 40 AGNs shows that, after correction for the inferred VLBA core Faraday rotations, about 50–55 per cent of BL Lac objects and high-polarization quasars, and about 65 per cent of high-polarization quasars (LPQs) have aligned VLBA-core and optical polarization angles to within 20°; a considerable number of objects also show no obvious relationship between their VLBA-core and optical polarization angles. This may indicate that only some AGNs have co-spatial regions of optical and radio emission in their jets. However, another possibility is that some of the 15–43 GHz VLBA cores have Faraday rotations of the order of several tens of thousand of rad m−2, which were not properly fitted using our three-frequency data due to n×π ambiguities in the observed polarization angles, leading to inaccurate subtraction of the effects of the core Faraday rotation and so incorrect ‘zero-wavelength’ radio polarization angles.