Quantiles of the Realized Stock-Bond Correlation

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RECERCAT Home > Universitat Rovira i Virgili > Departament d'Economia > Documents de treball del Departament d'Economia > View document

Use this identifier to quote or link this document: http://hdl.handle.net/2072/151809

dc.contributor	Universitat Rovira i Virgili. Departament d'Economia
dc.contributor	Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública
dc.contributor.author	Aslanidis, Nektarios
dc.contributor.author	Christiansen, Charlotte
dc.date.accessioned	2011-05-16T13:37:03Z
dc.date.available	2011-05-16T13:37:03Z
dc.date.created	2011
dc.date.issued	2011
dc.identifier.issn	1988 - 0812
dc.identifier.other	T - 772 - 2011
dc.identifier.uri	http://hdl.handle.net/2072/151809
dc.format.extent	24
dc.format.extent	992412 bytes
dc.format.mimetype	application/pdf
dc.language.iso	eng
dc.relation.ispartofseries	Documents de treball del Departament d'Economia;2011-01
dc.rights	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/)
dc.subject.other	Cartera de valors -- Gestió
dc.subject.other	Actius financers
dc.title	Quantiles of the Realized Stock-Bond Correlation
dc.type	info:eu-repo/semantics/workingPaper
dc.subject.udc	336 - Finances. Banca. Moneda. Borsa
dc.description.abstract	Abstract: We scrutinize the realized stock-bond correlation based upon high frequency returns. We use quantile regressions to pin down the systematic variation of the extreme tails over their economic determinants. The correlation dependence behaves differently when the correlation is large negative and large positive. The important explanatory variables at the extreme low quantile are the short rate, the yield spread, and the volatility index. At the extreme high quantile the bond market liquidity is also important. The empirical fi ndings are only partially robust to using less precise measures of the stock-bond correlation. The results are not caused by the recent financial crisis. Keywords: Extreme returns; Financial crisis; Realized stock-bond correlation; Quantile regressions; VIX. JEL Classifi cations: C22; G01; G11; G12

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