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

35 Pages Posted: 1 Sep 2010 Last revised: 12 Mar 2014

See all articles by Nektarios Aslanidis

Nektarios Aslanidis

Universitat Rovira Virgili

Charlotte Christiansen

Aarhus University - CREATES

Date Written: March 12, 2014

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 factors constructed from a large number of macro-finance predictors well-know from the return predictability literature. Strong in-sample predictability is obtained from the factor quantile model. Out-of-sample the quantile factor model outperforms benchmark models.

Keywords: Realized stock-bond correlation, Quantile regressions, Macro-finance variables, Factor analysis

JEL Classification: C22, G11, G12

Suggested Citation

Aslanidis, Nektarios and Christiansen, Charlotte, Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy (March 12, 2014). Available at SSRN: https://ssrn.com/abstract=1669237 or http://dx.doi.org/10.2139/ssrn.1669237

Nektarios Aslanidis

Universitat Rovira Virgili ( email )

Tarragona
Spain

Charlotte Christiansen (Contact Author)

Aarhus University - CREATES ( email )

Fuglesangs Alle 4
Aarhus V, DK 8210
Denmark

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