COAALA: A Novel Approach to Understanding Extreme Stock–Bond Comovement
提出一种新的copula模型来研究股票和政府债券收益极端变动之间的依赖关系，并引入基于尾部的安全港概念（尾部风险缓冲器），发现不同国家在局部尾部依赖和风险缓冲能力上存在显著差异。
Abstract This article proposes a novel copula model to understand the dependence between extreme variations in stock and government bond returns. This model is used to introduce a tail-based extension of the safe haven concept, which we refer to as a tail risk dampener. Our findings reveal significant cross-country differences in stock–bond local tail dependence and tail risk dampening abilities. Some countries’ bond market can lessen the impact on portfolio returns of extreme negative stock returns, while for others no such negative tail comovement is found. This tail comovement is also not always aligned with global comovement between stocks and bonds. The article concludes that a comprehensive understanding of the comovement and the resulting diversification potential between stock and bond returns necessitates complementing global measures of dependence with local tail measures.