Analyzing dependence structure of equity, bond and money markets by using time-varying copulas
dc.contributor.author | Nguyen, Cuong | |
dc.contributor.author | Nguyen, T | |
dc.date.accessioned | 2017-07-17T22:55:01Z | |
dc.date.available | 2014-02-25 | |
dc.date.issued | 2014-03 | |
dc.date.submitted | 2014-01-03 | |
dc.description.abstract | In 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. | |
dc.format.extent | pp.37-54 | |
dc.identifier.citation | Nguyen, 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.v6n3p37 | |
dc.identifier.doi | 10.5539/ijef.v6n3p37 | |
dc.identifier.eissn | 1916-9728 | |
dc.identifier.issn | 1916-971X | |
dc.identifier.uri | https://hdl.handle.net/10182/8320 | |
dc.language.iso | en | |
dc.publisher | Canadian Center of Science and Education | |
dc.relation | The original publication is available from Canadian Center of Science and Education - https://doi.org/10.5539/ijef.v6n3p37 - http://dx.doi.org/10.5539/ijef.v6n3p37 | |
dc.relation.isPartOf | International Journal of Economics and Finance | |
dc.relation.uri | https://doi.org/10.5539/ijef.v6n3p37 | |
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 (http://creativecommons.org/licenses/by/3.0/). | |
dc.rights.ccname | Attribution | |
dc.rights.ccuri | https://creativecommons.org/licenses/by/4.0/ | |
dc.subject | Australian futures markets | |
dc.subject | dependence structure | |
dc.subject | copula | |
dc.subject | the US futures markets | |
dc.subject | time-varying copula | |
dc.subject.anzsrc | ANZSRC::140210 International Economics and International Finance | |
dc.subject.anzsrc | ANZSRC::150205 Investment and Risk Management | |
dc.title | Analyzing dependence structure of equity, bond and money markets by using time-varying copulas | |
dc.type | Journal Article | |
lu.contributor.unit | Lincoln University | |
lu.contributor.unit | Faculty of Agribusiness and Commerce | |
lu.contributor.unit | Department of Financial and Business Systems | |
lu.identifier.orcid | 0000-0002-7563-2374 | |
pubs.issue | 3 | |
pubs.publication-status | Published | |
pubs.publisher-url | http://dx.doi.org/10.5539/ijef.v6n3p37 | |
pubs.volume | 6 |
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