COAALA : a novel approach to understanding extreme stock-bond comovement
Anne-Florence Allard, Hamza Hanbali, and Kristien Smedts
| Year of publication: |
2024
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|---|---|
| Authors: | Allard, Anne-Florence ; Hanbali, Hamza ; Smedts, Kristien |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 22.2024, 5, p. 1532-1557
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| Subject: | stock-bond dependence | tail dependence | time-varying copulas | Multivariate Verteilung | Multivariate distribution | Korrelation | Correlation | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Aktienmarkt | Stock market | Volatilität | Volatility | Ausreißer | Outliers | Rentenmarkt | Bond market | Börsenkurs | Share price | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbae006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015338817