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...

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...

We scrutinize the monthly realized stock-bond correlation based upon high frequency returns. In particular, we use a probit model to track the dynamics of the sign of the correlation relative to its various economic forces. The sign is predictable to a large extent with bond market liquidity...