Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy
AbstractThis 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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Bibliographic InfoPaper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2012-34.
Date of creation: 06 Jul 2012
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Web page: http://www.econ.au.dk/afn/
Realized stock-bond correlation; Quantile regressions; Macro?nance variables; Factor analysis.;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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