Time-varying dependence between stock and government bond returns : international evidence with dynamic copulas
Year of publication: |
July 2015
|
---|---|
Authors: | Jammazi, Rania ; Tiwari, Aviral Kumar ; Ferrer, Román ; Moya, Pablo |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 33.2015, p. 74-93
|
Subject: | Stock returns | Government bond returns | Dependence | Flight-to-quality | Time-varying copulas | Kapitaleinkommen | Capital income | Multivariate Verteilung | Multivariate distribution | Öffentliche Anleihe | Public bond | ARCH-Modell | ARCH model | Börsenkurs | Share price | Schätzung | Estimation | Welt | World | Zeitreihenanalyse | Time series analysis |
-
Dependence between Croatian and European stock markets : a copula GARCH approach
Dajčman, Silvo, (2013)
-
Yu, Lean, (2020)
-
Thu Thuy Nguyen, (2020)
- More ...
-
Industry-level determinants of the linkage between credit and stock markets
Shahzad, Syed Jawad Hussain, (2018)
-
Jammazi, Rania, (2017)
-
Main driving factors of the interest rate-stock market Granger causality
Jammazi, Rania, (2017)
- More ...