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Title:
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Quantiles of 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 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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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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Cartera de valors -- Gestió
Actius financers |
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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;2011-01
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