Time-varying dependence between stock and government bond returns : international evidence with dynamic copulas
Rania Jammazi, Aviral Kr. Tiwari, Román Ferrer, Pablo Moya
| Year of publication: |
July 2015
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| 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
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| Subject: | Stock returns | Government bond returns | Dependence | Flight-to-quality | Time-varying copulas | Öffentliche Anleihe | Public bond | Kapitaleinkommen | Capital income | Multivariate Verteilung | Multivariate distribution | Welt | World | Industrieländer | Industrialized countries | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | Börsenkurs | Share price | Kapitalmarktrendite | Capital market returns |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2015.03.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011534370