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Applied Economics Volume 46, 2014 - Issue 31
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Original Articles

Dependence structure between nominal and index-linked bond returns: a bivariate copula and DCC-GARCH approach

Noureddine BenlaghaDepartment of Finance and Investment, College of Economics and Administrative Sciences, Al Imam Mohammad Ibn Saud Islamic University (IMSIU), 5701, Riyadh, Saudi ArabiaCorrespondence[email protected]
Pages 3849-3860 | Published online: 05 Aug 2014

Citations (13)

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Read on this site (3)

Noureddine Benlagha & Wael Hemrit. (2023) Does investment in insurance stocks reap diversification benefits? Static and time varying copula modeling. Communications in Statistics - Simulation and Computation 52:4, pages 1384-1402.
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Emre Yıldırım & Mehmet Ali Cengiz. (2022) Modeling dependency between industry production and energy market via stochastic copula approach. Communications in Statistics - Simulation and Computation 51:4, pages 2006-2019.
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Noureddine Benlagha & Salaheddine El Omari. (2022) What determines the dependence between stock markets - crisis or financial and economic fundamentals?. Applied Economics 54:1, pages 19-37.
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Articles from other publishers (10)

Maria-Cristina Zwak-Cantoriu. (2023) The Contagion of International Crises: Implications of Inflation and Investor Sentiment on Stock and Treasury bond Returns. Proceedings of the International Conference on Business Excellence 17:1, pages 1818-1838.
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Mingzhi Zhang, Hongyu Liu, Jianxu Liu, Chao Chen, Zhaocheng Li, Bowen Wang & Songsak Sriboonchitta. (2022) Modelling Dependency Structures of Carbon Trading Markets between China and European Union: From Carbon Pilot to COVID-19 Pandemic. Axioms 11:12, pages 695.
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Mustafa Demirel & Gazanfer Unal. (2020) Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios. Financial Innovation 6:1.
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Noureddine Benlagha. (2020) Stock market dependence in crisis periods: Evidence from oil price shocks and the Qatar blockade. Research in International Business and Finance 54, pages 101285.
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Lanouar Charfeddine, Noureddine Benlagha & Youcef Maouchi. (2020) Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors. Economic Modelling 85, pages 198-217.
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Xinyu Yuan, Jiechen Tang, Wing-Keung Wong & Songsak Sriboonchitta. (2020) Modeling Co-Movement among Different Agricultural Commodity Markets: A Copula-GARCH Approach. Sustainability 12:1, pages 393.
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Liu, Wang & Sriboonchitta. (2019) Examining the Interdependence between the Exchange Rates of China and ASEAN Countries: A Canonical Vine Copula Approach. Sustainability 11:19, pages 5487.
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Feng He, Zhifeng Liu & Sicen Chen. (2019) Industries Return and Volatility Spillover in Chinese Stock Market: An Early Warning Signal of Systemic Risk. IEEE Access 7, pages 9046-9056.
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Noureddine Benlagha & Wael Hemrit. (2018) The Dynamic and Dependence of Takaful and Conventional Stock Return Behaviours: Evidence from the Insurance Industry in Saudi Arabia. Asia-Pacific Financial Markets 25:4, pages 285-323.
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Lanouar Charfeddine & Noureddine Benlagha. (2016) A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets. Journal of Multinational Financial Management 37-38, pages 168-189.
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