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    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


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