Smooth Transition Patterns in the Realized Stock- Bond Correlation

Nektarios Aslanidis and Charlotte Christiansen

Working Papers from Universitat Rovira i Virgili, Department of Economics

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

Keywords: Correlació (Estadística); Actius financers -- Preus; Cartera de valors -- Gestió; 336 - Finances. Banca. Moneda. Borsa (search for similar items in EconPapers)
Date: 2011
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http://hdl.handle.net/2072/152138

Related works:
Journal Article: Smooth transition patterns in the realized stock–bond correlation (2012)
Working Paper: Smooth Transition Patterns in the Realized Stock Bond Correlation (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:urv:wpaper:2072/152138

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