Smooth Transition Patterns in 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/2072/152138

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	2011-07-07T16:51:52Z
dc.date.available	2011-07-07T16:51:52Z
dc.date.created	2011
dc.date.issued	2011
dc.identifier.issn	1988 - 0812
dc.identifier.other	T - 1094 - 2011
dc.identifier.uri	http://hdl.handle.net/2072/152138
dc.format.extent	24
dc.format.extent	936933 bytes
dc.format.mimetype	application/pdf
dc.language.iso	eng
dc.relation.ispartofseries	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/)
dc.subject.other	Correlació (Estadística)
dc.subject.other	Actius financers -- Preus
dc.subject.other	Cartera de valors -- Gestió
dc.title	Smooth Transition Patterns in 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 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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