| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10475243 | Journal of Empirical Finance | 2012 | 11 Pages |
Abstract
⺠We investigate the time variation in the stock-bond correlation. ⺠We use the smooth transition regression (STR) model. ⺠The short rate, the yield spread, and the VIX volatility index are important. ⺠Multiple transition variable STR specifications work best.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Nektarios Aslanidis, Charlotte Christiansen,