Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy

Nektarios Aslanidis () and Charlotte Christiansen

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This paper adopts quantile regressions to scrutinize the realized stock-bond correlation based upon high frequency returns. The paper provides in-sample and out-of-sample analysis and considers a large number of macro-?nance predictors well-know from the return predictability literature. Strong in-sample predictability is obtained from quantile models with factor-augmented predictors, particularly at the lower to median quantiles. Out-of-sample the quantile factor model works best at the median to upper quantiles.

Keywords: Realized stock-bond correlation; Quantile regressions; Macro?nance variables; Factor analysis. (search for similar items in EconPapers)
JEL-codes: C22 G11 G12 (search for similar items in EconPapers)
Pages: 48
Date: 2012-07-06
New Economics Papers: this item is included in nep-for
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://repec.econ.au.dk/repec/creates/rp/12/rp12_34.pdf (application/pdf)

Related works:
Journal Article: Quantiles of the realized stock–bond correlation and links to the macroeconomy (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2012-34

Access Statistics for this paper

More papers in CREATES Research Papers from Department of Economics and Business Economics, Aarhus University
Bibliographic data for series maintained by ().