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dc.contributor.authorNguyen, Cuongen
dc.contributor.authorNguyen, T.en
dc.identifier.citationNguyen, C., & Nguyen, T. (2014). Analyzing dependence structure of equity, bond and money markets by using time-varying copulas. International Journal of Economics and Finance, 6(3), 37-54. doi:10.5539/ijef.v6n3p37en
dc.description.abstractIn this essay, we analyze the dependence structures of equity, bond and money markets in Australia, the United States as well as the linkages between the two countries. The dependence structures have become more important for investors, risk managers and regulatory policy makers during the current period of financial crisis. Especially investors should be aware of the dependence structures which show the co-movement patterns between different markets in order to diversify and reduce the risks of their portfolios. To capture the structure linkages between different markets, we propose the combination of empirical distributions and time-varying copula models. Furthermore, we show an effective and informative way to analyze dependence between variables, especially to provide a better understanding of the co-movements of financial variables as well as the risks associated with dependence structures among them. The empirical findings provide some important implications of a wide range of areas related to investment in Australian and US financial markets.en
dc.publisherCanadian Center of Science and Educationen
dc.relationThe original publication is available from - Canadian Center of Science and Education -
dc.rights© Copyright for this article is retained by the author(s), with first publication rights granted to the journal. This is an open-access article distributed under the terms and conditions of the Creative Commons Attribution license (
dc.subjectAustralian futures marketsen
dc.subjectdependence structureen
dc.subjectthe US futures marketsen
dc.subjecttime-varying copulaen
dc.titleAnalyzing dependence structure of equity, bond and money markets by using time-varying copulasen
dc.typeJournal Article
lu.contributor.unitLincoln Universityen
lu.contributor.unitFaculty of Agribusiness and Commerceen
lu.contributor.unitDepartment of Financial and Business Systemsen
dc.subject.anzsrc140210 International Economics and International Financeen
dc.subject.anzsrc150205 Investment and Risk Managementen
dc.relation.isPartOfInternational Journal of Economics and Financeen
pubs.organisational-group/LU/Faculty of Agribusiness and Commerce
pubs.organisational-group/LU/Faculty of Agribusiness and Commerce/FABS
pubs.organisational-group/LU/Research Management Office
pubs.organisational-group/LU/Research Management Office/QE18

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