Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach
提出GAS MIDAS Copula模型，将股票与债券收益的动态依赖分解为短期和长期成分，长期受宏观金融因素驱动，短期遵循GAS过程，并考虑不同分位点的非对称依赖，在最优资产组合和风险管理中优于其他模型。
Stock and bond are the two most crucial assets for portfolio allocation and risk management. This study proposes generalized autoregressive score mixed frequency data sampling (GAS MIDAS) copula models to analyze the dynamic dependence between stock returns and bond returns. A GAS MIDAS copula decomposes their relationship into a short-term dependence and a long-term dependence. While the long-term dependence is driven by related macro-finance factors using a MIDAS regression, the short-term effect follows a GAS process. Asymmetric dependence at different quantiles is also taken into account. We find that the proposed GAS MIDAS copula models are more effective in optimal portfolio allocation and improve the accuracy in risk management compared to other alternatives.