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This research investigates four tail relationships between the U.S. dollar and S&P 500 returns by a dynamic mixture copula model with a link between the dependence structure and dependence intensity. The empirical results find that four tail relationships are evident and time-varying. Regarding the negative dependence, the tail relationship is prominently stronger in the situation where the U.S. dollar depreciates and the stock index increases than in the situation where the U.S. dollar appreciates and the stock index declines. Regarding the positive dependence, the situation of two returns increase occurs slightly more frequently than the situation of two returns decrease. [ABSTRACT FROM AUTHOR]

This research assesses the diversification patterns for tail dependence between Bitcoin return and trading volume by utilizing a dynamic mixture copula approach with spillover effect and asymmetric volatility effect. There are four main empirical findings. First, the spillover effect between return and trading volume exists. Second, the leverage effect is statistically significant for return and trading volume. Third, the linkages between return and trading volume are diversified. Both positive and negative tail dependence structures are observed, and the frequency of a positive tail dependence occurring is higher. Furthermore, the asymmetric tail dependence structure exists in positive and negative dependence situations. In the positive dependence structure, a co-movement in the increasing direction is stronger than a co-movement in the decreasing direction. In the negative dependence structure, a situation of a large return with low volume occurs more often than a situation of a small return with high volume. Fourth, the volatility of trading volume positively predicts the magnitude of positive dependence. [ABSTRACT FROM AUTHOR]

This study investigates how equity portfolio flows affect the transition processes of exchange rate returns in Australia by employing a Markov-switching AR-GARCH-Jump model with time-varying transition probabilities. Three interesting findings are observed. Firstly, both GARCH and jump effects are totally different in the high-volatility and low-volatility states. Secondly, the net equity portfolio inflows increase exchange rate market fluctuations. Thirdly, the marginal effect of net equity flows is stronger in low-volatility state than in high-volatile state. [ABSTRACT FROM AUTHOR]

To authenticate to the full-text of this article, please visit this link: http://dx.doi.org/10.1111/j.1467-9957.2009.02162.x Byline: KUANG-LIANG CHANG (1), CHI-WEI HE (2) Abstract: A bivariate Markov regime switching model is employed to verify whether the relationship between inflation and inflation uncertainty, or the negative effects of inflation and inflation uncertainty on output growth, vary with the level of inflation. Inflation and inflation uncertainty are positively correlated in the high-inflation regime. In contrast, in the low-inflation regime, the direct effect of inflation on output growth is insignificant, but the indirect negative effect on growth via inflation uncertainty is highly significant. The negative influence in a high-inflation regime is 2.664 times greater than that in a low-inflation regime. Author Affiliation: (1)National Chiayi University, Taiwan (2)Chung Hwa University of Medical Technology, Taiwan

This article aims to investigate whether stock and real estate investment trust (REIT) returns have asymmetric downside and upside co-movements. The investigation is carried out by employing a mixture copula with Markov-switching coefficients for weight, upper tail dependence and lower tail dependence. Empirical result demonstrates that an asymptotic independence and a positive relationship, which has greater dependence in the left tail than in the right tail, coexist. The empirical result provides useful information for making portfolio decisions. In the independent state, the inclusion of stock and REIT indices in a portfolio builds a diversified portfolio. However, a portfolio with stock and REIT assets cannot get the benefit of risk reduction in the positive dependence state. [ABSTRACT FROM PUBLISHER]

In this study, the dynamic dependence between the international crude oil return and the exchange rate return for Taiwan is examined. Two mixture copulas (symmetric Joe-Clayton, SJC, and mixture of Gumbel and survival Gumbel, GSG) and two dynamic dependences (a Markov-switching type and an AR-like type) are considered in order to study whether the dynamic dependence is mixed and asymmetric. The empirical results show that the Markov-switching GSG copula performs the best when compared to other specifications investigated in this article. The relationship is positive and symmetric during periods of volatile crude oil prices, while it is independent during periods of stable crude oil prices. [ABSTRACT FROM AUTHOR]