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Title:
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Smooth Transition Patterns in the Realized Stock- Bond Correlation
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Author:
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Aslanidis, Nektarios; Christiansen, Charlotte
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Other authors:
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Universitat Rovira i Virgili. Departament d'Economia; Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública |
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Resum:
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Abstract: We analyze the realized stock-bond correlation. Gradual transitions
between negative and positive stock-bond correlation is accommodated by the
smooth transition regression (STR) model. The changes in regime are de ned
by economic and financial transition variables. Both in sample and out-of-
sample results document that STR models with multiple transition variables
outperform STR models with a single transition variable. The most important
transition variables are the short rate, the yield spread, and the VIX volatility
index.
Keywords: realized correlation; smooth transition regressions; stock-bond
correlation; VIX index
JEL Classifi cations: C22; G11; G12; G17 |
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Publication date:
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2011 |
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Subject (UDC):
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336 - Finances. Banca. Moneda. Borsa |
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Subject(s):
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Correlació (Estadística)
Actius financers -- Preus
Cartera de valors -- Gestió |
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Rights:
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Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/) |
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Document type:
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Working Paper |
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ISSN:
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1988 - 0812
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Collection:
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Documents de treball del Departament d'Economia;2011-10
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