The flight-to-quality effect: A copula-based analysis

Accounting and Finance

Volumn 50, Issue 2, 2010, Pages 281-299

  Durand, Robert B ^a   Junker, Markus ^b   Szimayer, Alex ^c  

^a UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

^b MaSt services GmbH and Co KG   (Germany)

^c UNIVERSITY OF BONN   (Germany)

Author keywords

Copulas; Flight to quality; Tail dependence

Indexed keywords

EID: 77953594936     PISSN: 08105391     EISSN: 1467629X     Source Type: Journal    
DOI: 10.1111/j.1467-629X.2009.00320.x     Document Type: Article

References (37)

1. Abel A B. Stock prices under time-varying dividend risk. An exact solution in an infinite-horizon general equilibrium model. Journal of Monetary Economics 1988, 22:375-393.
2. Andreou E, Ghysels E. Detecting multiple breaks in financial market volatility dynamics. Journal of Applied Econometrics 2002, 17:579-600.
3. Ané T, Kharoubi C. Dependence structure and risk measure. The Journal of Business 2003, 76:411-438.
4. Bai J, Perron P. Computation and analysis of multiple structural change models. Journal of Applied Econometrics 2003, 18:1-22.
5. Barsky R B. Why don't the prices of stocks and bonds move together? American Economic Review 1989, 79:1132-1145.
6. Bernanke B S, Kuttner K N. What explains the stock market's reaction to federal reserve policy? The Journal of Finance 2005, 60:1221-1257.
7. Breymann W, Dias A, Embrechts P. Dependence structures for multivariate high-frequency data in finance. Quantitative Finance 2003, 3:1-14.
8. Brock W, Dechert W, Scheinkman J. A test for independence based on the correlation dimension. 1987, Unpublished Working Paper, University of Wisconsin at Madison, University of Houston and University of Chicago
9. Campbell J Y, Lo A W, MacKinlay A C. The Econometrics of Financial Markets 1997, Princeton University Press, Princeton, NJ
10. Chen N F. Financial investment opportunities and the macroeconomy. Journal of Finance 1991, 46:529-554.
11. Dobric J, Schmid F. Tests of fit for parametric families of copulas: applications to financial data. Communications in Statistics: Simulation and Computation 2005, 34:1053-1068.
12. Engle R F, Granger C W J. Co-integration and error correction: representation. Estimation, and Testing, Econometrica 1987, 55:251-276.
13. Engle R F, Hamilton J D. Long swings in the dollar: are they in the data and do markets know it? American Economic Review 1990, 80:689-713.
14. Garcia R, Perron P. An analysis of the real interest rate under regime shifts. Review of Economics and Statistics 1996, 78:111-125.
15. Genest C, Ghoudi K, Rivest L P. A semiparametric estimation procedure of dependence parameters in multivariate families of distributions. Biometrika 1995, 82:543-552.
16. Gonzalo J, Olmo J. Contagion versus flight to quality in financial markets. 2005, Working Paper 05-18, Economics Series 10, Universidad Carlos III de Madrid
17. Granger C W J, Ter̈asvirta T, Patton A J. Common factors in conditional distributions for bivariate time series. Journal of Econometrics 2006, 132:43-57.
18. Hamilton J D. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 1989, 57:357-384.
19. Hamilton J D. Analysis of time series subject to changes in regime. Journal of Econometrics 1990, 45:39-70.
20. Hansen L P, Singleton K J. Stochastic consumption, risk aversion and the temporal behavior of asset returns. Journal of Political Economy 1983, 91:249-265.
21. Hatherley A, Alcock J. Portfolio construction incorporating asymmetric dependence structures: a user's guide. Accounting & Finance 2007, 47:447-472.
22. Jensen G R, Johnson R R, Mercer J M. New evidence on size and price-to-book effects in stock returns. Financial Analysts Journal 1997, 53:34-42.
23. Joe H. Multivariate Models and Dependence Concepts 1997, Monographs on Statistics and Applied Probability 73, Chapman & Hall, London
24. Junker M, Szimayer A, Wagner N. Nonlinear term structure dependence: copula functions, empirics, and risk implications. Journal of Banking and Finance 2006, 30:1171-1199.
25. Lam P S. The Hamilton model with a general autoregressive component: estimation and comparison with other models of economic time series. Journal of Monetary Economics 1990, 26:409-432.
26. Lundblad C. The risk return tradeoff in the long run: 1836-2003. Journal of Financial Economics 2007, 83:123-150.
27. Malevergne Y, Sornette D. Testing the Gaussian copula hypothesis for financial assets dependences. Extremes 2003, 7:31-67.
28. Mehra R, Prescott E C. The equity premium. A puzzle. Journal of Monetary Economics 1985, 15:145-161.
29. Mehra R, Prescott E C. The equity premium in retrospect. Handbook of the Economics of Finance 2003, 888-936. Constantides G, Harris MStulz R M. in, eds, Elsevier/North-Holland, Boston, MA
30. Merton R C. On estimating the expected return on the market. An exploratory investigation. Journal of Financial Economics 1980, 8:323-361.
31. Moore D S. Tests of chi-squared type. Goodness-of-Fit Techniques 1986, 367-419. D'Agostino R BStevens M A. In, eds, Dekker, New York
32. Nelsen R B. An Introduction to Copulas 1999, Lecture Notes in Statistics 139, Springer, New York
33. Patelis A D. Stock return predictability and the role of monetary policy. The Journal of Finance 1997, 52:1951-1972.
34. Pollard D. General chi-square goodness-of-fit tests with data-dependent cells. Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 1979, 50:317-331.
35. Rosenblatt M. Remarks on a multivariate transformation. Annals of Mathematical Statistics 1952, 23:470-472.
36. Scaillet O. A nonparametric analysis of stock index return dependence through bivariate copulas. European Investment Review 2002, 1:7-16.
37. Thorbecke W. On stock market returns and monetary policy. The Journal of Finance 1997, 52:635-654.