Quantiles of the realized stock–bond correlation and links to the macroeconomy

Nektarios Aslanidis and Charlotte Christiansen

Journal of Empirical Finance, 2014, vol. 28, issue C, 321-331

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 factors constructed from a large number of macro-finance predictors well-known from the return predictability literature. Strong in-sample predictability is obtained from the factor quantile model. Out-of-sample the quantile factor model outperforms benchmark models.

Keywords: Realized stock–bond correlation; Quantile regressions; Macro-finance variables; Factor analysis (search for similar items in EconPapers)
JEL-codes: C22 G11 G12 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (27)

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Related works:
Working Paper: Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:28:y:2014:i:c:p:321-331

DOI: 10.1016/j.jempfin.2014.03.007

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