Department of Economics and Business Economics

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.
Original languageEnglish
JournalJournal of Empirical Finance
Volume28
Pages (from-to)321-331
Number of pages11
ISSN0927-5398
DOIs
Publication statusPublished - 2014

Bibliographical note

Campus adgang til artiklen / Campus access to the article

    Research areas

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

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