Quantiles of the Realized Stock-Bond Correlation
| Contribuinte(s) |
Universitat Rovira i Virgili. Departament d'Economia Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública |
|---|---|
| Data(s) |
2011
|
| Resumo |
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 |
| Formato |
24 992412 bytes application/pdf |
| Identificador | |
| Idioma(s) |
eng |
| Relação |
Documents de treball del Departament d'Economia;2011-01 |
| Direitos |
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/) |
| Palavras-Chave | #Cartera de valors -- Gestió #Actius financers #336 - Finances. Banca. Moneda. Borsa |
| Tipo |
info:eu-repo/semantics/workingPaper |
