Aslanidis, Nektarios; Christiansen, Charlotte - School of Economics and Management, University of Aarhus - 2010
We scrutinize the monthly realized stock-bond correlation based upon high frequency returns. In particular, we use a … predictable to a large extent with bond market liquidity being the most important variable. Moreover, stock market volatility …, inflation uncertainty, short rate volatility, and bond volatility have significant effects upon the sign. In addition, we use …