Search results for "Tail dependence"
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Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas
2015
Abstract This paper investigates the dependence pattern between stock and long-term government bond returns for a wide range of developed countries over the last two decades by using a dynamic DCC-GARCH-copula model. This approach allows obtaining a flexible and comprehensive description of the time variation in the linkage between stock and bond markets. The empirical results show that the dependence structure between stock and 10-year government bond returns varies significantly over time for most countries. In particular, a positive stock–bond association is observed during the 1990s, while the relationship becomes negative from the early 2000s, supporting the presence of flight-to-quali…
Learning and the Price Dynamics of a Double-Auction Financial Market with Portfolio Traders
2006
In this paper we study the dynamics of price adjustments in an artificial market where portfolio traders with bounded rationality and limited resources interact through a continuous, electronic open book. The present work extends the model developed in [? ] introducing endogenous target individual portfolio holdings. We model the agents’ order-flow investment decision as an optimal choice given individual characteristics and the available information. We depart from the standard asset pricing framework in two ways. First, we assume that investors have imperfect information about the returns distribution. In particular, we assume that agents hold arbitrary priors about securities’ returns, w…