淡江大學機構典藏:Item 987654321/78167
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/78167


    Title: Re-examine the Dynamic Conditional Correlation between the Bond and Stock Returns-Quantile Regression Approach
    Authors: Lee,Wo-chiang;Wu,Bing-tse
    Contributors: 淡江大學財務金融學系
    Keywords: Time varying normal Copula;dynamic correlation coefficient;quantile regression model
    Date: 2012-05
    Issue Date: 2012-09-10 11:47:08 (UTC+8)
    Abstract: 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.
    Relation: The Empirical Economics Letters 11(5), pp.493-502
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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