A quantile-copula approach to dependence between financial assets

Jong Min Kim, Lucia Tabacu, Hojin Jung

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

This article unveils the dependence structure between United States stock prices, crude oil prices, exchange rates, and U.S. interest rates. In particular, we employ linear and nonlinear estimation methods, such as quantile regression and the quantile-copula approach. Over the 1998–2017 period, we find that there is a positive relationship between the dollar value and the S&P 500 stock price, with the exception of the lower and upper tails of the stock return distribution. Further evidence is obtained on the dependence structure between other asset returns. The stock returns are negatively related to oil prices but positively to U.S. interest rates. Our results highlight the way that financial assets are linked, which have implications for risk management and monetary policy.

Original languageEnglish (US)
Article number101066
JournalNorth American Journal of Economics and Finance
Volume51
DOIs
StatePublished - Jan 2020

Keywords

  • Quantile regression
  • Quantile-copula
  • Tail dependence

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