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

References

• Aghabozorgi, S. and Wah Teh, Y. (2013) Stock market co-movement assessment using a three-phase clustering method, Expert Systems with Applications, 41, 1301–14.
   Web of Science ®Google Scholar
• Ang, A., Chen, J. and Xing, Y. (2006) Downside risk, Review of Financial Studies, 19, 1191–239. doi:10.1093/rfs/hhj035.
   Web of Science ®Google Scholar
• Asgharian, H., Hess, W. and Liu, L. (2013) A spatial analysis of international stock market linkages, Journal of Banking & Finance, 37, 4738–54. doi:10.1016/j.jbankfin.2013.08.015.
   Web of Science ®Google Scholar
• Baba, Y., Engle, R. F., Kraft, D. et al. (1990) Multivariate Simultaneous Generalized ARCH, University of California, San Diego.
   Google Scholar
• Bartram, S., Taylor, S. and Wang, Y. (2007) The Euro and European financial market dependence, Journal of Banking & Finance, 31, 1461–81. doi:10.1016/j.jbankfin.2006.07.014.
   Web of Science ®Google Scholar
• Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307–27. doi:10.1016/0304-4076(86)90063-1.
   Web of Science ®Google Scholar
• Bunda, I., Hamann, A. J. and Lall, S. (2009) Correlations in emerging market bonds: the role of local and global factors, Emerging Markets Review, 10, 67–96. doi:10.1016/j.ememar.2009.02.003.
   Web of Science ®Google Scholar
• Campbell, J. Y. and Ammer, J. (1993) What moves the stock and bond markets? A variance decomposition for long-term asset returns, The Journal of Finance, 48, 3–37. doi:10.1111/j.1540-6261.1993.tb04700.x.
   Web of Science ®Google Scholar
• Campbell, J. Y. and Viceira, L. M. (2001) Who should buy long-term bonds?, American Economic Review, 91, 99–127. doi:10.1257/aer.91.1.99.
   Web of Science ®Google Scholar
• Cherubini, U. and Luciano, E. (2002) Bivariate option pricing with copulas, Applied Mathematical Finance, 9, 69–85. doi:10.1080/13504860210136721a.
   Google Scholar
• Cherubini, U. and Luciano, E. (2003) Pricing and hedging credit derivatives with copulas, Economic Notes, 32, 219–42. doi:10.1111/1468-0300.00112.
   Google Scholar
• Chevallier, J. and Ielpo, F. (2013) Cross-market linkages between commodities, stocks and bonds, Applied Economics Letters, 20, 1008–18. doi:10.1080/13504851.2013.772286.
   Web of Science ®Google Scholar
• De Michele, C., Salvadori, C., Passoni, G. et al. (2007) A multivariate model of sea storms using copulas, Coastal Engineering, 54, 734–51. doi:10.1016/j.coastaleng.2007.05.007.
   Web of Science ®Google Scholar
• De Truchis, G. (2013) Approximate whittle analysis of fractional cointegration and the stock market synchronization issue, Economic Modelling, 34, 98–105. doi:10.1016/j.econmod.2012.12.011.
   Web of Science ®Google Scholar
• Dias, A. and Embrechts, P. (2010) Modeling exchange rate dependence dynamics at different time horizons, Journal of International Money and Finance, 29, 1687–705. doi:10.1016/j.jimonfin.2010.06.004.
   Web of Science ®Google Scholar
• Egert, B. and Kocenda, E. (2007) Interdependence between Eastern and Western European stock markets: evidence from intraday data, Economic Systems, 31, 184–203. doi:10.1016/j.ecosys.2006.12.004.
   Google Scholar
• Embrechts, P., Lindskog, F. and McNeil, A. (2003) Modelling dependence with copulas and applications to risk management in Handbook of Heavy Tailed Distributions in Finance, Rachev, S. T. (Ed), Elsevier, Amsterdam, pp. 329–84.
   Google Scholar
• Engle, R. F. and Colacito, R. (2006) Testing and valuing dynamic correlations for asset allocation, Journal of Business and Economic Statistics, 24, 238–53. doi:10.1198/073500106000000017.
   Web of Science ®Google Scholar
• Engle, R. F. and Kroner, K. F. (1995) Multivariate simultaneous generalized ARCH, Econometric Theory, 11, 122–50. doi:10.1017/S0266466600009063.
   Web of Science ®Google Scholar
• Engle, R. F. and Sheppard, K. (2001) Theoritical and empirical properties of Dynamic Conditional Correlation Multivariate GARCH, NBER Working Papers 8554, National Bureau of Economic Research, Cambridge, MA.
   Google Scholar
• Fama, E. F. and Gibbons, M. R. (1982) Inflation, real returns and capital investment, Journal of Monetary Economics, 9, 297–323. doi:10.1016/0304-3932(82)90021-6.
   Web of Science ®Google Scholar
• Fantazzini, D. (2009) The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study, Computational Statistics and Data Analysis, 53, 2168–88. doi:10.1016/j.csda.2008.02.002.
   Web of Science ®Google Scholar
• Fernandez, V. (2008) Multi-period hedge ratios for a multi-asset portfolio when accounting for returns co-movement, The Journal of Futures Markets, 28, 182–207. doi:10.1002/fut.20294.
   Web of Science ®Google Scholar
• Fernandez-Avilés, G., Montero, J. M. and Orlov, A. (2012) Spatial modeling of stock market comovements, Finance Research Letters, 9, 202–12. doi:10.1016/j.frl.2012.05.002.
   Web of Science ®Google Scholar
• Giesecke, K. (2004) Correlated default with incomplete information, Journal of Banking & Finance, 28, 1521–45. doi:10.1016/S0378-4266(03)00129-8.
   Web of Science ®Google Scholar
• Hansson, B. A. and Hordahl, P. (1998) Testing the conditional CAPM using multivariate GARCH-M, Applied Financial Economics, 8, 377–88. doi:10.1080/096031098332916.
   Google Scholar
• Hwang, E., Min, H. G., Kim, B. H. et al. (2013) Determinants of stock market comovements among US and emerging economies during the US financial crisis, Economic Modelling, 35, 338–48. doi:10.1016/j.econmod.2013.07.021.
   Web of Science ®Google Scholar
• Jeo, H. (1997) Multivariate distributions from mixtures of max-infinitely divisible distributions, Journal of Multivariate Analysis, 57, 240–65.
   Web of Science ®Google Scholar
• Johnson, M. E. (1987) Multivariate Statistical Simulation, Wiley, New York.
   Google Scholar
• Junker, M., Szimayer, A. and Wagner, N. (2006) Nonlinear term structure dependence: copula functions, empirics, and risk implications, Journal of Banking & Finance, 30, 1171–99. doi:10.1016/j.jbankfin.2005.05.014.
   Web of Science ®Google Scholar
• Kawakatsu, H. (2006) Matrix exponential GARCH, Journal of Econometrics, 134, 95–128. doi:10.1016/j.jeconom.2005.06.023.
   Web of Science ®Google Scholar
• Mendes, B., Leal, R. and Carvalhal-da-Silva, A. (2007) Clustering in emerging equity markets, Emerging Markets Review, 8, 194–205. doi:10.1016/j.ememar.2007.02.001.
   Google Scholar
• Mills, C. and Markellos, R. N. (2008) The Econometric Modelling of Financial Time Series, 3rd edn, Cambridge University Press, Cambridge.
   Google Scholar
• Mishkin, F. S. (1981) The real interest rate: an empirical investigation, Carnegie-Rochester Conference Series on Public Policy, 15, 151–200. doi:10.1016/0167-2231(81)90022-1.
   Google Scholar
• Nelson, D. B. (1991) Conditional heteroskedasticity in asset returns: a new approach, Econometrica, 59, 347–70. doi:10.2307/2938260.
   Web of Science ®Google Scholar
• Nelsen, R. B. (2006) An Introduction to Copulas. Lecture Notes Statistics, 2nd edn, Springer, New York.
   Google Scholar
• Panchenko, V. (2005) Goodness-of-fit test for copulas, Physica A: Statistical Mechanics and its Applications, 355, 176–82. doi:10.1016/j.physa.2005.02.081.
   Web of Science ®Google Scholar
• Philippasa, D. and Siriopoulosb, C. (2013) Putting the ‘C’ into crisis: contagion, correlations and copulas on EMU bond markets, Journal of International Financial Markets, Institutions & Money, 27, 161–76. doi:10.1016/j.intfin.2013.09.008.
   Web of Science ®Google Scholar
• Piljak, V. (2013) Bond markets co-movement dynamics and macroeconomic factors: evidence from emerging and frontier markets, Emerging Markets Review, 17, 29–43. doi:10.1016/j.ememar.2013.08.001.
   Web of Science ®Google Scholar
• Plackett, R. L. (1965) A class of bivariate distributions, Journal of the American Statistical Association, 60, 516–22. doi:10.1080/01621459.1965.10480807.
   Web of Science ®Google Scholar
• Rockinger, M. and Jondeau, E. (2001) Conditional dependency of financial series: an application of copulas, Working Paper NER#82, Banque de France, Paris.
   Google Scholar
• Rosenberg, J. and Schuermann, T. (2006) A general approach to integrated risk management with skewed, fat-tailed risks, Journal of Financial Economics, 79, 569–614. doi:10.1016/j.jfineco.2005.03.001.
   Web of Science ®Google Scholar
• Salvadori, C. and De Michele, C. (2010) Multivariate multiparameter extreme value models and return periods: a copula approach, Water Resource, 46, 1050.
   Google Scholar
• Schwert, G. W. (1986) The time series behavior of real interest rates a comment, Carnegie-Rochester Conference Series on Public Policy, 24, 275–87. doi:10.1016/0167-2231(86)90012-6.
   Google Scholar
• Silvennoinen, A. and Terasvirta, T. (2008) Multivariate GARCH models, in Handbook of Financial Time Series, Andersen, T. G., Davis, R. A., Kreiss, J.-P. et al. (Eds), Springer, New York.
   Google Scholar
• Weber, E. (2013) Decomposing US stock market co-movement into spillovers and common factors, The North American Journal of Economics and Finance, 26, 106–18. doi:10.1016/j.najef.2013.08.001.
   Web of Science ®Google Scholar