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

•Quantile regressions are used to scrutinize the realized stock–bond correlation.•Factors are constructed from a large number of macro-finance predictors.•Strong in-sample predictability is obtained from the factor quantile model.•Out-of-sample the quantile factor model outperforms benchmark models.

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.