Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas
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DOI: 10.1016/j.najef.2015.03.005
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Citations
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- Skintzi, Vasiliki D., 2019.
"Determinants of stock-bond market comovement in the Eurozone under model uncertainty,"
International Review of Financial Analysis, Elsevier, vol. 61(C), pages 20-28.
- Skintzi, Vasiliki, 2017. "Determinants of stock-bond market comovement in the Eurozone under model uncertainty," MPRA Paper 78278, University Library of Munich, Germany.
- Choe, Geon Ho & Choi, So Eun & Jang, Hyun Jin, 2020. "Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Shahzad, Syed Jawad Hussain & Kumar, Ronald Ravinesh & Ali, Sajid & Ameer, Saba, 2016. "Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 8-33.
- Perego, Erica R. & Vermeulen, Wessel N., 2016.
"Macro-economic determinants of European stock and government bond correlations: A tale of two regions,"
Journal of Empirical Finance, Elsevier, vol. 37(C), pages 214-232.
- Erica R. PEREGO & Wessel N. VERMEULEN, 2013. "Macroeconomic determinants of European stock and government bond correlations: A tale of two regions," LIDAM Discussion Papers IRES 2013013, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Tachibana, Minoru, 2022. "Safe haven assets for international stock markets: A regime-switching factor copula approach," Research in International Business and Finance, Elsevier, vol. 60(C).
- Hussain Shahzad, Syed Jawad & Raza, Naveed & Shahbaz, Muhammad & Ali, Azwadi, 2017.
"Dependence of stock markets with gold and bonds under bullish and bearish market states,"
Resources Policy, Elsevier, vol. 52(C), pages 308-319.
- Shahzad, Syed Jawad Hussain & Raza, Naveed & Shahbaz, Muhammad & Ali, Azwadi, 2017. "Dependence of Stock Markets with Gold and Bonds under Bullish and Bearish Market States," MPRA Paper 78595, University Library of Munich, Germany, revised 15 Apr 2017.
- Liu, Hsiang-Hsi & Wang, Teng-Kun & Li, Weny, 2019. "Dynamical Volatility and Correlation among US Stock and Treasury Bond Cash and Futures Markets in Presence of Financial Crisis: A Copula Approach," Research in International Business and Finance, Elsevier, vol. 48(C), pages 381-396.
- Jiang, Cuixia & Ding, Xiaoyi & Xu, Qifa & Tong, Yongbo, 2020. "A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2020. "Modeling non-normal corporate bond yield spreads by copula," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
- Chen, Yufeng & Qu, Fang, 2019. "Leverage effect and dynamics correlation between international crude oil and China’s precious metals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
- Thomas Flavin & Dolores Lagoa-Varela, 2016. "Do long-term bonds hedge equity risk? Evidence from Spain," Economics Department Working Paper Series n275-16.pdf, Department of Economics, National University of Ireland - Maynooth.
- Hyun Jin Jang & Kiseop Lee & Kyungsub Lee, 2020.
"Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 247-275, February.
- Hyun Jin Jang & Kiseop Lee & Kyungsub Lee, 2020. "Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach," Papers 2012.04181, arXiv.org.
- Atil, Ahmed & Bradford, Marc & Elmarzougui, Abdelaziz & Lahiani, Amine, 2016. "Conditional dependence of US and EU sovereign CDS: A time-varying copula-based estimation," Finance Research Letters, Elsevier, vol. 19(C), pages 42-53.
- Gupta, Rangan & Kollias, Christos & Papadamou, Stephanos & Wohar, Mark E., 2018.
"News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets,"
Journal of Multinational Financial Management, Elsevier, vol. 47, pages 76-90.
- Rangan Gupta & Christos Kollias & Stephanos Papadamou & Mark E. Wohar, 2017. "News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets," Working Papers 201730, University of Pretoria, Department of Economics.
- Flavin, Thomas J. & Lagoa-Varela, Dolores, 2021.
"On the stability of stock-bond comovements across market conditions in the Eurozone periphery,"
Global Finance Journal, Elsevier, vol. 49(C).
- Thomas J.Flavin & Dolores Lagoa-Varela, 2019. "On the stability of Stock-bond comovements across market conditions in the Eurozone periphery," Economics Department Working Paper Series n295-19.pdf, Department of Economics, National University of Ireland - Maynooth.
- Minoru Tachibana, 2020. "Flight-to-quality in the stock–bond return relation: a regime-switching copula approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(4), pages 429-470, December.
- Lin, Fu-Lai & Yang, Sheng-Yung & Marsh, Terry & Chen, Yu-Fen, 2018. "Stock and bond return relations and stock market uncertainty: Evidence from wavelet analysis," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 285-294.
- Ponrajah, Jeremey & Ning, Cathy, 2023. "Stock–bond dependence and flight to/from quality," International Review of Financial Analysis, Elsevier, vol. 86(C).
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More about this item
Keywords
Stock returns; Government bond returns; Dependence; Flight-to-quality; Time-varying copulas;All these keywords.
JEL classification:
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- F30 - International Economics - - International Finance - - - General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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