<abstract xmlns="http://www.w3.org/1999/xhtml"><p> 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.</p></abstract>

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.

Multidimensional Copula Models for Parallel Development of the Us Bond Market Indices

Tatra Mountains Mathematical Publications

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

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...

Multidimensional Copula Models for Parallel Development of the Us Bond Market Indices

Publié en ligne: 23 mars 2018

Pages: 61 - 73

Reçu: 13 avr. 2017

DOI: https://doi.org/10.1515/tmmp-2017-0014

Mots clés
bond market indices, Copulas, Cramer-von Mises test statistics, GoF test, Vuong and Clarke tests

© 2018

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Multidimensional Copula Models for Parallel Development of the Us Bond Market Indices

Publié en ligne: 23 mars 2018

Pages: 61 - 73

Reçu: 13 avr. 2017

DOI: https://doi.org/10.1515/tmmp-2017-0014

Mots clésbond market indices, Copulas, Cramer-von Mises test statistics, GoF test, Vuong and Clarke tests

© 2018

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Mots clés
bond market indices, Copulas, Cramer-von Mises test statistics, GoF test, Vuong and Clarke tests