Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy
35 Pages Posted: 1 Sep 2010 Last revised: 12 Mar 2014
Date Written: March 12, 2014
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: Suggested Citation