An Economic Evaluation of Range-Based Covariance between Stock and Bond Returns with Dynamic Copulas
碩士 === 元智大學 === 財務金融學系 === 98 === The covariance between stock and bond returns plays an important role in asset allocation strategies and portfolio diversification processes. This paper proposes a multivariate range-based volatility model which combines the range-based volatility model with dynamic...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/59316804673535705824 |