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dc.contributor.authorAikins Abakah, Emmanuel Joel
dc.contributor.authorAddo Jr, Emmanuel
dc.contributor.authorGil Alana, Luis A. 
dc.contributor.authorKumar Tiwari, Aviral
dc.date.accessioned2022-05-23T09:34:42Z
dc.date.available2022-05-23T09:34:42Z
dc.date.issued2021
dc.identifier.issn1057-5219spa
dc.identifier.urihttp://hdl.handle.net/10641/2982
dc.description.abstractThe finance literature provides substantial evidence on the dependence between international bond markets across developed and emerging countries. Early works in this area were based on linear models and multivariate GARCH models. However, based on the limitations of these models this paper re-examines the non-linearity, multivariate and tail dependence structure between government bond markets of the US, UK, Japan, Germany, Canada, France, Italy, Australia and the Eurozone, from January 1970 to February 2019 using ARMA-GARCH based pair- copula models. We find that the bond markets in our sample tend to have both upper tail dependence in terms of positive shocks and lower tail dependence in terms of negative shocks. The estimated C-vine shows Eurozone has the highest average dependency. The D-vine, with optimal chain dependency structure shows the best order of connectedness to be the UK, the USA, Italy, Japan, Eurozone, France, Canada, Germany and Australia. The R-vine copula results underline the complex dynamics of bond market relations existing between the selected economies. The estimated R-vine shows Eurozone, Germany and Australia are the most inter-connected nodes. The multivariate distribution structure (interdependency) of bond markets for all countries were modelled with the C-vine, D-vine and R-vine copulas. In this application, the R-vine copula allows for detailed modelling of all bond markets and hence provides a more accurate goodness of fit and mean square error for the interdependency between all markets. In light of the changing volatility in bond markets, we conduct additional tests using time-varying copulas and find that the dependence structure among the bond markets examined is time-varying with the dynamic dependence parameter plots revealing that the nature of the dependence structure is intense during crisis periods.spa
dc.language.isoengspa
dc.publisherInternational Review of Financial Analysisspa
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subjectInternational bond marketsspa
dc.subjectBond markets integrationspa
dc.subjectCopulaspa
dc.subjectTail dependencespa
dc.titleRe-examination of international bond market dependence: Evidence from a pair copula approach.spa
dc.typejournal articlespa
dc.type.hasVersionAMspa
dc.rights.accessRightsopen accessspa
dc.description.extent1625 KBspa
dc.identifier.doi10.1016/j.irfa.2021.101678spa
dc.relation.publisherversionhttps://www.sciencedirect.com/science/article/pii/S1057521921000211#aep-article-footnote-id1spa


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