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Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas

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Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas

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dc.contributor.author Jammazi, Rania
dc.contributor.author Tiwari, Aviral Kr.
dc.contributor.author Ferrer Lapeña, Román
dc.contributor.author Moya Martínez, Pablo
dc.date.accessioned 2016-05-11T07:39:09Z
dc.date.available 2016-05-11T07:39:09Z
dc.date.issued 2015
dc.identifier.citation Jammazi, Rania Tiwari, Aviral Kr Ferrer Lapeña, Román Moya Martínez, Pablo 2015 Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas North American Journal Of Economics And Finance 33 July 74 93
dc.identifier.uri http://hdl.handle.net/10550/53568
dc.description.abstract This paper investigates the dependence pattern between stock and long-term government bond returns for a wide range of developed countries over the last two decades by using a dynamic DCC-GARCH-copula model. This approach allows obtaining a flexible and comprehensive description of the time variation in the linkage between stock and bond markets. The empirical results show that the dependence structure between stock and 10-year government bond returns varies significantly over time for most countries. In particular, a positive stock-bond association is observed during the 1990s, while the relationship becomes negative from the early 2000s,supporting the presence of flight-to-quality effects. In addition,no evidence of asymmetric and tail dependence is found for the vast majority of country
dc.language.iso eng
dc.relation.ispartof North American Journal Of Economics And Finance, 2015, vol. 33, num. July, p. 74-93
dc.subject Mercat Investigació
dc.title Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas
dc.type journal article es_ES
dc.date.updated 2016-05-11T07:39:09Z
dc.identifier.idgrec 111177
dc.rights.accessRights open access es_ES

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