The authors thank participants at the conference ‘Probability, Financial Derivatives, and Asset Pricing’, Charlottesville, USA, 2005, for helpful comments; we have particularly benefited from advice given by, and discussions with, David Bates, Paul Embrechts, Wake Epps, Dilip Madan, Ross Maller, Sid Resnick, Len Scott and Kent Zumwalt. We also thank participants at seminars at the Australian National University for their thoughts on the paper. Thanks are also due to Mark Moore for assistance with the data.
The flight-to-quality effect: a copula-based analysis
Article first published online: 21 OCT 2009
© The Authors. Journal compilation © 2009 AFAANZ
Accounting & Finance
Volume 50, Issue 2, pages 281–299, June 2010
How to Cite
Durand, R. B., Junker, M. and Szimayer, A. (2010), The flight-to-quality effect: a copula-based analysis. Accounting & Finance, 50: 281–299. doi: 10.1111/j.1467-629X.2009.00320.x
- Issue published online: 24 MAY 2010
- Article first published online: 21 OCT 2009
- Received 19 June 2007; accepted 27 July 2009 by Robert Faff (Editor).
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