Re-examine the Dynamic Conditional Correlation between the Bond and Stock Returns-Quantile Regression Approach
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
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