Real-world key correlations: The unconditional correlation between equity returns and index linked bonds returns
Document ID: 2009-1503
Published on: 9th July 2009
Author: Michelle Barbour
In this note we’ll explain our methodology for estimating the unconditional (long term) correlation between excess equity log returns and the excess log returns on a 10 year Index linked zero-coupon government bond using monthly data.
The targets will be updated once a year, and we plan to calibrate to these targets in our unconditional real-world calibration from the end of June 2009 (with country specific equity targets).
