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dc.contributor.authorBacigál, T
dc.contributor.authorKomorník, J
dc.contributor.authorKomorníková, M
dc.contributor.authorNguyen, Cuong
dc.identifier.citationBacigál, T., Komorník, J., Komorníková, M., & Nguyen, C. (2016). Dynamics of parallel development of the bond market indices in the US market and its multidimensional copula models. Global and Stochastic Analysis, 3(2), 47-59.
dc.description.abstractIn this paper (which is a substantially extended version of a conference paper from SMTDA 2016 [10]) we focus our attention to 3-dimensional copula models of returns of indices of US financial markets (various bond indices have been investigated in the literature much less than stock indices). We have gained interesting experience in constructing Vine copula models. Although, for our particular data (comprising two triples of bond indices: US Investment Bond indices and US Corporate Bond indices), the global dominance of more traditional classes of elliptic (especially Student type) 3-dimensional copulas was demonstrated (and some conclusions concerning optimizations of investment portfolios can be based on fairly simple arguments), the optimal local Vine copulas helps to obtain more insight in the detailed development of the investigated triples of investments.
dc.publisherMUK Publications
dc.relationThe original publication is available from MUK Publications -
dc.rights© The Authors.
dc.subjectbond market indices
dc.subjectCramer-von Mises GOF test statistics
dc.titleDynamics of parallel development of the bond market indices in the US market and its multidimensional copula models
dc.typeJournal Article
lu.contributor.unitLincoln University
lu.contributor.unitFaculty of Agribusiness and Commerce
lu.contributor.unitDepartment of Financial and Business Systems
dc.subject.anzsrc140210 International Economics and International Finance
dc.subject.anzsrc1502 Banking, Finance and Investment
dc.subject.anzsrc150205 Investment and Risk Management
dc.relation.isPartOfGlobal and Stochastic Analysis
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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