期刊論文
| 學年 | 100 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2012-05-01 |
| 作品名稱 | Re-examine the Dynamic Conditional Correlation between the Bond and Stock Returns-Quantile Regression Approach |
| 作品名稱（其他語言） | |
| 著者 | Lee,Wo-chiang; Wu,Bing-tse |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | |
| 著錄名稱、卷期、頁數 | The Empirical Economics Letters 11(5), pp.493-502 |
| 摘要 | This paper examines the impact of financial variables on the time-varying correlation of bond and stock returns. Our empirical finding demonstrates that no matter in time varying normal copula correlation or DCC model, the average correlation is very low in US and Germany. However, the correlation is high in Japan. We further test how financial variables affect the correlation and find an interesting estimated results that the exchange rate, gold and oil exhibit different signs and sizes at quantiles 0.25, 0.5 and 0.75, respectively. In sum, we are unable to find any systematic relationship between financial variables and bond-stock returns correlation. |
| 關鍵字 | Time varying normal Copula; dynamic correlation coefficient; quantile regression model |
| 語言 | en |
| ISSN | 1681-8997 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | 國外 |
| 通訊作者 | Lee, Wo-chiang |
| 審稿制度 | 是 |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | 電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/78167 ) |