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

Rania Jammazi, Aviral Tiwari, Román Ferrer and Pablo Moya

The North American Journal of Economics and Finance, 2015, vol. 33, issue C, 74-93

Abstract: 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.

Keywords: Stock returns; Government bond returns; Dependence; Flight-to-quality; Time-varying copulas (search for similar items in EconPapers)
JEL-codes: C40 E44 F30 G15 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:33:y:2015:i:c:p:74-93

DOI: 10.1016/j.najef.2015.03.005

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