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.accessioned
2024-12-10T13:32:37Z
dc.date.available
2011-05-16T13:37:03Z
dc.date.available
2024-12-10T13:32:37Z
dc.identifier.issn
1988 - 0812
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T - 772 - 2011
dc.identifier.uri
http://hdl.handle.net/2072/151809
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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992412 bytes
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application/pdf
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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/)
cat
dc.subject.other
Cartera de valors -- Gestió
ca
dc.subject.other
Actius financers
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dc.title
Quantiles of the Realized Stock-Bond Correlation
ca
dc.type
info:eu-repo/semantics/workingPaper
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