The flight-to-quality effect: a copula-based analysis
We derive and estimate a copula combining the features of the Frank and Gumbel copulas to analyse the relationship between equity and long-term bond returns. Our analysis of quarterly returns from 1952 to 2003 finds that, in general, there is a positive relationship between equity returns and bond r...
| Main Authors: | , , |
|---|---|
| Format: | Journal Article |
| Published: |
Wiley-Blackwell Publishing Asia
2010
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/48066 |