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: | , , |
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| Format: | Journal Article |
| Published: |
Wiley-Blackwell Publishing Asia
2010
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/48066 |
| _version_ | 1848758007976951808 |
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| author | Durand, Robert Junker, M. Szimayer, A. |
| author_facet | Durand, Robert Junker, M. Szimayer, A. |
| author_sort | Durand, Robert |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 returns. Inextreme situations, however, there is approximately a one-in-seven chance of a flight-to-quality effect where large negative equity returns are associated with large positive bond returns. |
| first_indexed | 2025-11-14T09:37:09Z |
| format | Journal Article |
| id | curtin-20.500.11937-48066 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:37:09Z |
| publishDate | 2010 |
| publisher | Wiley-Blackwell Publishing Asia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-480662017-02-28T01:40:18Z The flight-to-quality effect: a copula-based analysis Durand, Robert Junker, M. Szimayer, A. Copulas Tail dependence Flight-to-quality 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 returns. Inextreme situations, however, there is approximately a one-in-seven chance of a flight-to-quality effect where large negative equity returns are associated with large positive bond returns. 2010 Journal Article http://hdl.handle.net/20.500.11937/48066 Wiley-Blackwell Publishing Asia restricted |
| spellingShingle | Copulas Tail dependence Flight-to-quality Durand, Robert Junker, M. Szimayer, A. The flight-to-quality effect: a copula-based analysis |
| title | The flight-to-quality effect: a copula-based analysis |
| title_full | The flight-to-quality effect: a copula-based analysis |
| title_fullStr | The flight-to-quality effect: a copula-based analysis |
| title_full_unstemmed | The flight-to-quality effect: a copula-based analysis |
| title_short | The flight-to-quality effect: a copula-based analysis |
| title_sort | flight-to-quality effect: a copula-based analysis |
| topic | Copulas Tail dependence Flight-to-quality |
| url | http://hdl.handle.net/20.500.11937/48066 |