Smooth Transition Patterns in 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
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| Resumo |
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 |
| Formato |
24 936933 bytes application/pdf |
| Identificador | |
| Idioma(s) |
eng |
| Relação |
Documents de treball del Departament d'Economia;2011-10 |
| 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 | #Correlació (Estadística) #Actius financers -- Preus #Cartera de valors -- Gestió #336 - Finances. Banca. Moneda. Borsa |
| Tipo |
info:eu-repo/semantics/workingPaper |
