Title: Dynamic relationship between stock market and bond market: A GAS-MIDAS copula approach
Authors: Hoang Nguyen - Orebro University (Sweden) [presenting]
Farrukh Javed - Orebro University (Sweden)
Abstract: There is evidence that macroeconomic variables influence the relationship among financial variables, however they are sampled at different frequencies. A generalized autoregressive score mixed frequency data sampling (GAS-MIDAS) copula approach is proposed to analyze the dynamic relationship between the Stock market and the Bond market. A GAS-MIDAS copula decomposes their dependence into a short-run and a long-run correlation. While the long term effect is updated at a lower frequency using MIDAS, the short term effect is taken into account using a GAS approach. The model helps to improve the in-sample and the out-of-sample forecast.