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

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Author Info

  • Nektarios Aslanidis

    ()
    (Department of Economics, FCEE, University Rovira Virgili)

  • Charlotte Christiansen

    ()
    (Aarhus University and CREATES)

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.

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File URL: ftp://ftp.econ.au.dk/creates/rp/12/rp12_34.pdf
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Bibliographic Info

Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2012-34.

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Length: 48
Date of creation: 06 Jul 2012
Date of revision:
Handle: RePEc:aah:create:2012-34

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Web page: http://www.econ.au.dk/afn/

Related research

Keywords: Realized stock-bond correlation; Quantile regressions; Macro?nance variables; Factor analysis.;

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