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

Listed author(s):
  • Nektarios Aslanidis

    ()

    (Department of Economics, FCEE, University Rovira Virgili)

  • Charlotte Christiansen

    ()

    (Aarhus University and CREATES)

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

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Length: 48
Date of creation: 06 Jul 2012
Handle: RePEc:aah:create:2012-34
Contact details of provider: Web page: http://www.econ.au.dk/afn/

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