An Empirical Analysis of the Dependence Structure of International Equity and Bond Markets Using Regime-switching Copula Model

In this paper, we perform an empirical analysis of the dependence structure of international equity and bond markets using the regime-switching copula model. In equity markets, it is observed that negative returns are more strongly dependent than positive returns. This phenomenon is known as asymmet...

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Veröffentlicht in:	IAENG international journal of applied mathematics 2018-05, Vol.48 (2), p.1-15
Hauptverfasser:	Otani, Yuko, Imai, Junichi
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymmetry Bond markets Dependence Economic models Empirical analysis Equity Foreign exchange markets International finance Markets Parameter estimation Random variables Researchers Stochastic models Switching Time series
Online-Zugang:	Volltext
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