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 gradecorporate bond indices. We concluded that the optimal 3D as well as partial pairwise2D models are in the Student class with 2 degrees of freedom (and thus very heavytails) and exhibit very high values of tail dependence coecients. Hence the consideredbond indices do not represent suitable components of a well diversied investmentportfolio. On the other hand, they could make good candidates for underlying assetsof derivative instruments.
@article{492,
title = {Multidimensional copula models for parallel development of the US bond market indices},
journal = {Tatra Mountains Mathematical Publications},
volume = {70},
year = {2018},
language = {EN},
url = {http://dml.mathdoc.fr/item/492}
}
Komorník, Jozef; Komorníková, Magdaléna; Bacigál, Tomáš; Nguyen, Cuong. Multidimensional copula models for parallel development of the US bond market indices. Tatra Mountains Mathematical Publications, Tome 70 (2018) . http://gdmltest.u-ga.fr/item/492/