The flight-to-quality effect: a copula-based analysis
| dc.contributor.author | Durand, Robert | |
| dc.contributor.author | Junker, M. | |
| dc.contributor.author | Szimayer, A. | |
| dc.date.accessioned | 2017-01-30T15:37:19Z | |
| dc.date.available | 2017-01-30T15:37:19Z | |
| dc.date.created | 2014-10-08T02:29:16Z | |
| dc.date.issued | 2010 | |
| dc.identifier.citation | Durand, R. and Junker, M. and Szimayer, A. 2010. The flight-to-quality effect: a copula-based analysis. Accounting and Finance. 50: pp. 281-299. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/48066 | |
| dc.description.abstract |
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. | |
| dc.publisher | Wiley-Blackwell Publishing Asia | |
| dc.subject | Copulas | |
| dc.subject | Tail dependence | |
| dc.subject | Flight-to-quality | |
| dc.title | The flight-to-quality effect: a copula-based analysis | |
| dc.type | Journal Article | |
| dcterms.source.volume | 50 | |
| dcterms.source.startPage | 281 | |
| dcterms.source.endPage | 299 | |
| dcterms.source.issn | 1467-629X | |
| dcterms.source.title | Accounting and Finance | |
| curtin.accessStatus | Fulltext not available |