Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach
Hoang Nguyen and
Farrukh Javed ()
Additional contact information
Farrukh Javed: Örebro University School of Business, Postal: Örebro University, School of Business, SE - 701 82 ÖREBRO, Sweden
No 2021:15, Working Papers from Örebro University, School of Business
Abstract:
Stock and bond are the two most crucial assets for portfolio allocation and risk management. This study proposes generalized autoregressive score mixed frequency data sampling (GAS MIDAS) copula models to analyze the dynamic dependence between stock returns and bond returns. A GAS MIDAS copula decomposes their relationship into a short-term dependence and a long-term dependence. While the long-term dependence is driven by related macro-finance factors using a MIDAS regression, the short-term effect follows a GAS process. Asymmetric dependence at different quantiles is also taken into account. We find that the proposed GAS MIDAS copula models are more effective in optimal portfolio allocation and improve the accuracy in risk management compared to other alternatives.
Keywords: GAS copulas; MIDAS; asymmetry (search for similar items in EconPapers)
JEL-codes: C32 C52 C58 G11 G12 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2021-08-30
New Economics Papers: this item is included in nep-ecm, nep-isf, nep-ore and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
https://www.oru.se/globalassets/oru-sv/institution ... s2021/wp-15-2021.pdf Full text (application/pdf)
Related works:
Journal Article: Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach (2023) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:hhs:oruesi:2021_015
Access Statistics for this paper
More papers in Working Papers from Örebro University, School of Business Örebro University School of Business, SE - 701 82 ÖREBRO, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by ().