In: Tatra Mountains Mathematical Publications, vol. 69, no. 2
Jozef Komorník - Magdaléna Komorníková - Tomáš Bacigál - Cuong Nguyen
Detaily:
Rok, strany: 2017, 61 - 73
Kľúčové slová:
bond market indices, Copulas, Cramer-von Mises test statistics, GoF test, Vuong and Clarke tests.
O článku:
Stock and bond markets co--movements have been studied by~many researchers.
The object of our investigation is the development of three U.S. investment grade corporate bond indices. We concluded that the optimal 3D as well as partial pairwise 2D models are
in the Student class with 2 degrees of freedom (and thus very heavy tails) and exhibit very high values of tail dependence coefficients. Hence the considered bond indices do not represent suitable components of a well-diversified investment portfolio. On the other hand, they could make good candidates for underlying assets of derivative instruments.
Ako citovať:
ISO 690:
Komorník, J., Komorníková, M., Bacigál, T., Nguyen, C. 2017. Multidimensional copula models for parallel development of the US bond market indices. In Tatra Mountains Mathematical Publications, vol. 69, no.2, pp. 61-73. 1210-3195.
APA:
Komorník, J., Komorníková, M., Bacigál, T., Nguyen, C. (2017). Multidimensional copula models for parallel development of the US bond market indices. Tatra Mountains Mathematical Publications, 69(2), 61-73. 1210-3195.