教師資料查詢 | 類別: 期刊論文 | 教師: 李沃牆 Lee, Wo-chiang (瀏覽個人網頁)

標題:Re-examine the Dynamic Conditional Correlation between the Bond and Stock Returns-Quantile Regression Approach
學年
學期
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
語言英文
ISSN1681-8997
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
國別美國
公開徵稿
出版型式電子版
相關連結
SDGs
Google+ 推薦功能,讓全世界都能看到您的推薦!