English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 49291/83828 (59%)
造訪人次 : 7159223      線上人數 : 76
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/78167


    題名: Re-examine the Dynamic Conditional Correlation between the Bond and Stock Returns-Quantile Regression Approach
    作者: Lee,Wo-chiang;Wu,Bing-tse
    貢獻者: 淡江大學財務金融學系
    關鍵詞: Time varying normal Copula;dynamic correlation coefficient;quantile regression model
    日期: 2012-05
    上傳時間: 2012-09-10 11:47:08 (UTC+8)
    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.
    關聯: The Empirical Economics Letters 11(5), pp.493-502
    顯示於類別:[財務金融學系暨研究所] 期刊論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    10_120130 Lee manuscript_Wu_Lee_Taiwan_Published Paper.pdf124KbAdobe PDF1檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回饋