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

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.

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Year of publication:	2014
Authors:	Aslanidis, Nektarios ; Christiansen, Charlotte
Published in:	Journal of Empirical Finance. - Elsevier, ISSN 0927-5398. - Vol. 28.2014, C, p. 321-331
Publisher:	Elsevier
Subject:	Realized stock–bond correlation \| Quantile regressions \| Macro-finance variables \| Factor analysis

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Type of publication:	Article
Classification:	C22 - Time-Series Models ; G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010939522