An economic evaluation of stock–bond return comovements with copula-based GARCH models

DOI10.1080/14697688.2012.727213zbMath1402.62259OpenAlexW2087764735MaRDI QIDQ5245467

Chih-Chiang Wu, Zih-Ying Lin

Publication date: 8 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.727213

zbMATH Keywords

dynamic modelsasset allocationcorrelation structuresapplied econometricseconometrics of financial markets

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

On the dynamic dependence and asymmetric co-movement between the US and central and eastern European transition markets ⋮ A new time-varying optimal copula model identifying the dependence across markets

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Efficient estimation of a semiparametric dynamic copula model
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive Conditional Density Estimation

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