Quantiles of the realized stock-bond correlation and links to the macroeconomy

被引：36

作者：

Aslanidis, Nektarios ^{[1
]}

Christiansen, Charlotte ^{[2
]}

机构：

[1] Univ Rovira & Virgili, Dept Econ, CREIP, Reus 43204, Spain

[2] Aarhus Univ, CREATES, Dept Econ & Business, Sch Business & Social Sci, DK-8210 Aarhus V, Denmark

来源：

JOURNAL OF EMPIRICAL FINANCE | 2014年 / 28卷

关键词：

Realized stock-bond correlation; Quantile regressions; Macro-finance variables; Factor analysis; RISK; REGRESSION; VOLATILITY; PREDICTION; RETURNS; MODELS; TESTS;

D O I：

10.1016/j.jempfin.2014.03.007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：321 / 331

页数：11

共 33 条

[1] Modeling and forecasting realized volatility [J].

Andersen, TG ;

Bollerslev, T ;

Diebold, FX ;

Labys, P .

ECONOMETRICA, 2003, 71 (02) :579-625

[2] Micro effects of macro announcements: Real-time price discovery in foreign exchange [J].

Andersen, TG ;

Bollerslev, T ;

Diebold, FX ;

Vega, C .

AMERICAN ECONOMIC REVIEW, 2003, 93 (01) :38-62

[3] Quantile regression models with factor-augmented predictors and information criterion [J].

Ando, Tomohiro ;

Tsay, Ruey S. .

ECONOMETRICS JOURNAL, 2011, 14 (01) :1-24

[4]

[Anonymous], 2008, NBER Working Paper, 14473Carry Trades and Currency Crashes

[5] Smooth transition patterns in the realized stock-bond correlation [J].

Aslanidis, Nektarios ;

Christiansen, Charlotte .

JOURNAL OF EMPIRICAL FINANCE, 2012, 19 (04) :454-464

[6] Investor sentiment in the stock market [J].

Baker, Malcolm ;

Wurgler, Jeffrey .

JOURNAL OF ECONOMIC PERSPECTIVES, 2007, 21 (02) :129-151

[7] REGIME-SWITCHING IN STOCK INDEX AND TREASURY FUTURES RETURNS AND MEASURES OF STOCK MARKET STRESS [J].

Bansal, Naresh ;

Connolly, Robert A. ;

Stivers, Chris .

JOURNAL OF FUTURES MARKETS, 2010, 30 (08) :753-779

[8] Econometric analysis of realized covariation: High frequency based covariance, regression, and correlation in financial economics [J].

Barndorff-Nielsen, OE ;

Shephard, N .

ECONOMETRICA, 2004, 72 (03) :885-925

[9]

Campbell J. Y, 2009, WORKING PAPER

[10] Efficient tests of stock return predictability [J].

Campbell, John Y. ;

Yogo, Motohiro .

JOURNAL OF FINANCIAL ECONOMICS, 2006, 81 (01) :27-60

← 1 2 3 4 →