Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/244589 
Year of Publication: 
2021
Series/Report no.: 
Working Paper No. 15/2021
Publisher: 
Örebro University School of Business, Örebro
Abstract: 
Stock and bond are the two most crucial assets for portfolio allocation and risk management. This study proposes generalized autoregressive score mixed frequency data sampling (GAS MIDAS) copula models to analyze the dynamic dependence between stock returns and bond returns. A GAS MIDAS copula decomposes their relationship into a short-term dependence and a long-term dependence. While the long-term dependence is driven by related macro-finance factors using a MIDAS regression, the short-term effect follows a GAS process. Asymmetric dependence at different quantiles is also taken into account. We find that the proposed GAS MIDAS copula models are more effective in optimal portfolio allocation and improve the accuracy in risk management compared to other alternatives.
Subjects: 
GAS copulas
MIDAS
asymmetry
JEL: 
C32
C52
C58
G11
G12
Document Type: 
Working Paper

Files in This Item:
File
Size
672.31 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.