Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas

North American Journal of Economics and Finance

Volumn 33, Issue , 2015, Pages 74-93

  Jammazi, Rania ^a,b,c   Tiwari, Aviral Kr ^d   Ferrer, Román ^e   Moya, Pablo ^f  

^a IPAG Business School ^*  (France)

^b Faculty of Management and Economic Sciences   (Tunisia)

^c UNIVERSITY OF TUNIS EL MANAR   (Tunisia)

^d IFHE UNIVERSITY   (India)

^e UNIVERSITY OF VALENCIA   (Spain)

^f UNIVERSITY OF CASTILLA LA MANCHA   (Spain)

Author keywords

Dependence; Flight to quality; Government bond returns; Stock returns; Time varying copulas

Indexed keywords

EID: 84925965455     PISSN: 10629408     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.najef.2015.03.005     Document Type: Article

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