Title: Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy
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 larg...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.Read More
Publication Year: 2012
Publication Date: 2012-07-06
Language: en
Type: preprint
Access and Citation
Cited By Count: 8
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot