Smooth transition patterns in the realized stock-bond correlation

Journal of Empirical Finance

Volumn 19, Issue 4, 2012, Pages 454-464

  Aslanidis, Nektarios ^a   Christiansen, Charlotte ^b  

^a UNIVERSITAT ROVIRA I VIRGILI   (Spain)

^b AARHUS UNIVERSITY   (Denmark)

Author keywords

Correlation regimes; Realized stock bond correlation; Smooth transition regressions; VIX index

Indexed keywords

EID: 84860542796     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2012.04.005     Document Type: Article

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