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

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Jammazi, Rania; Tiwari, Aviral Kr.; Ferrer Lapeña, Román; Moya Martínez, Pablo
Aquest document és un/a article, creat/da en: 2015
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

    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
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