Wu, Chih-Chiang; Liang, Shin-Shun - In: Journal of Empirical Finance 18 (2011) 4, pp. 711-727
The covariance between stock and bond returns plays important roles in the setting up of asset allocation strategies and portfolio diversification. In the present study, we propose a multivariate range-based volatility model incorporating dynamic copulas into a range-based volatility model to...