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

Author

Listed:
  • 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.

Suggested Citation

  • Nektarios Aslanidis & Charlotte Christiansen, 2012. "Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy," CREATES Research Papers 2012-34, Department of Economics and Business Economics, Aarhus University.
    • Handle: RePEc:aah:create:2012-34
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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; 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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