Aslanidis, Nektarios; Christiansen, Charlotte - In: Journal of Empirical Finance 28 (2014) C, pp. 321-331
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...