dc.contributor
Universitat Rovira i Virgili. Departament d'Economia
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Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública
dc.contributor.author
Aslanidis, Nektarios
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Christiansen, Charlotte
dc.date.accessioned
2011-07-07T16:51:52Z
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2024-12-10T13:32:44Z
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2011-07-07T16:51:52Z
dc.date.available
2024-12-10T13:32:44Z
dc.identifier.issn
1988 - 0812
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T - 1094 - 2011
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http://hdl.handle.net/2072/152138
dc.description.abstract
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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936933 bytes
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application/pdf
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Documents de treball del Departament d'Economia;2011-10
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
Correlació (Estadística)
ca
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Actius financers -- Preus
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Cartera de valors -- Gestió
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dc.title
Smooth Transition Patterns in the Realized Stock- Bond Correlation
ca
dc.type
info:eu-repo/semantics/workingPaper
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