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

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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-known 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.
OriginalsprogEngelsk
TidsskriftJournal of Empirical Finance
Vol/bind28
Sider (fra-til)321-331
Antal sider11
ISSN0927-5398
DOI
StatusUdgivet - 2014

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