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

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...

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Bibliographic Details
Main Authors: Durand, Robert, Junker, M., Szimayer, A.
Format: Journal Article
Published: Wiley-Blackwell Publishing Asia 2010
Subjects:
Copulas
Tail dependence
Flight-to-quality
Online Access:http://hdl.handle.net/20.500.11937/48066

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