Articles producció científica> Economia

Correlation regimes in international equity and bond returns

  • Identification data

    Identifier: imarina:6285451
  • Authors:

    Aslanidis N
    Martinez O
  • Others:

    Author, as appears in the article.: Aslanidis N; Martinez O
    Department: Economia
    URV's Author/s: Aslanidis, Nektarios / Martínez Ibáñez, Oscar
    Keywords: Threshold Stock market volatility State variables International equity and bond comovements Interest rates
    Abstract: © 2020 Elsevier B.V. Measuring comovements across international financial markets is important for policy purposes and portfolio management. We develop a new approach to analyse such comovements in relation to key state variables, such as equity market volatility and short-term interest rates. These state variables can identify regimes in comovements through a fast, tractable threshold model. The advantage over existing methods is that our model can be easily estimated and does not have a serious bias, even when applied to large asset portfolios. Out-of-sample portfolio evaluation shows that our method outperforms the standard dynamic conditional correlation approach, especially during the recent global financial crisis when financial market comovements experienced substantial regime shifts. Overall, we contribute to the empirical literature by shedding new light on the fundamental drivers of comovements across international financial markets which can help guide analysis of systemic risk, asset allocation and hedging.
    Thematic Areas: Saúde coletiva Interdisciplinar Engenharias iii Economics and econometrics Economics Economia Ciencias sociales Administração, ciências contábeis e turismo Administração pública e de empresas, ciências contábeis e turismo
    ISSN: 02649993
    Author's mail: nektarios.aslanidis@urv.cat nektarios.aslanidis@urv.cat oscar.martinez@urv.cat
    Author identifier: 0000-0001-8990-920X 0000-0001-8990-920X 0000-0002-8871-4707
    Record's date: 2024-07-27
    Papper version: info:eu-repo/semantics/acceptedVersion
    Link to the original source: https://www.sciencedirect.com/science/article/abs/pii/S026499931931483X
    Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
    Papper original source: Economic Modelling. 97 397-410
    APA: Aslanidis N; Martinez O (2021). Correlation regimes in international equity and bond returns. Economic Modelling, 97(), 397-410. DOI: 10.1016/j.econmod.2020.04.009
    Article's DOI: 10.1016/j.econmod.2020.04.009
    Entity: Universitat Rovira i Virgili
    Journal publication year: 2021
    Publication Type: Journal Publications
  • Keywords:

    Economics,Economics and Econometrics
    Threshold
    Stock market volatility
    State variables
    International equity and bond comovements
    Interest rates
    Saúde coletiva
    Interdisciplinar
    Engenharias iii
    Economics and econometrics
    Economics
    Economia
    Ciencias sociales
    Administração, ciências contábeis e turismo
    Administração pública e de empresas, ciências contábeis e turismo
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