. 2023 Jan 24:1–43. Online ahead of print. doi: 10.1007/s00181-023-02358-1

Table 3.

DCC/ADDC GARCH Estimates (EBOND)

	Pre-Covid				Covid-Era				Compare
	DCC		ADCC		DCC		ADCC		DCC	ADCC
	Coeff	SE	Coeff	SE	Coeff	SE	Coeff	SE	Z_PBMP	Z_PBMP
$μ_{STOCK}$	0.0952^a	0.0249	0.0718^a	0.0259	0.3303^a	0.1131	0.2950^b	0.1172	2.0301^c	−0.9355
$a_{STOCK}$	0.0242	0.0184	0.0274	0.0187	−0.0294	0.0442	−0.0181	0.0449	−1.1195	1.3180
$ω_{STOCK}$	0.0356 ^a	0.0125	0.0429 ^a	0.0146	0.2740	0.1940	0.4302	0.2935	1.2263	−0.9578
$α_{STOCK}$	0.0861 ^a	0.0129	0.0392 ^a	0.0114	0.0820 ^a	0.0316	0.0012	0.0380	−0.1201	−0.6797
$β_{STOCK}$	0.9053 ^a	0.0143	0.9047 ^a	0.0152	0.8813 ^a	0.0430	0.8682 ^a	0.0515	−0.5296	0.6901
$γ_{STOCK}$			0.0811 ^a	0.0227			0.1359 ^c	0.0761		−0.2561
$λ_{STOCK}$	7.5155 ^a	0.9334	7.5941 ^a	0.9332	7.2930 ^a	0.8318	7.2760 ^a	0.8196	−0.1780	0.6731
$μ_{OIL}$	0.0393	0.0293	0.0172	0.02933	0.0676 ^b	0.0279	0.0444	0.0278	0.6995	0.4215
$a_{OIL}$	−0.02864	0.0186	−0.0310 ^c	0.0188	−0.0217^a	0.0029	−0.0200	0.0181	0.3687	2.5950 ^b
$ω_{OIL}$	0.0326 ^b	0.0146	0.0220 ^a	0.0081	0.0734 ^a	0.0234	0.0792 ^a	0.0205	1.4793	2.2066 ^b
$α_{OIL}$	0.0646 ^a	0.0137	0.0140 ^c	0.0073	0.1136 ^a	0.0139	0.0435 ^a	0.0112	2.5107^b	−6.9381 ^a
$β_{OIL}$	0.9319 ^a	0.0141	0.9475 ^a	0.0072	0.8757 ^a	0.01308	0.851 ^a	0.0119	−2.9221^a	1.8538
$γ_{OIL}$			0.0687 ^a	0.0123			0.1127 ^a	0.0203		0.2118
$λ_{OIL}$	5.7644 ^a	0.6421	6.1797 ^a	0.7292	5.9452 ^a	0.6457	6.4019 ^a	0.7542	0.1985	0.1066
$μ_{GOLD}$	0.0327 ^b	0.0136	0.03667 ^a	0.0136	0.03609^a	0.0228	0.0395	0.0228	0.1277	0.0875
$a_{GOLD}$	−0.0182	0.0158	−0.0208	0.0159	−0.0170^a	0.0034	−0.0189	0.0148	0.0742	0.3722
$ω_{GOLD}$	0.0077 ^a	0.0019	0.0079 ^a	0.0019	0.0086 ^a	0.0019	0.0089 ^a	0.0019	0.3349	0.0791
$α_{GOLD}$	0.0349 ^a	0.0033	0.0518 ^a	0.0071	0.0350 ^a	0.0032	0.0526 ^a	0.0072	0.0218	−0.1030
$β_{GOLD}$	0.9590 ^a	0.0007	0.9575 ^a	0.0087	0.9587 ^a	0.0006	0.9566 ^a	0.0008	−0.3254	0.0404
$γ_{GOLD}$			−0.0293 ^a	0.0106			−0.0287 ^a	0.0104		−0.5616
$λ_{GOLD}$	4.0861 ^a	0.3263	4.2121 ^a	0.3342	3.9505 ^a	0.2717	3.9689 ^a	0.2754	−0.3194	−0.9440
$μ_{BOND}$	0.0082	0.0067	0.0108	0.0069	0.0029	0.0050	0.0027	0.0051	−0.6340	1.4080
$a_{BOND}$	−0.0321 ^c	0.0193	−0.0320 ^c	0.0193	0.0044^a	0.0009	0.0044	0.0172	1.8891	−0.8321
$ω_{BOND}$	0.0012 ^a	0.0003	0.0010 ^a	0.0003	0.0007 ^a	0.0002	0.0007 ^a	0.0002	−1.3868	0.0172
$α_{BOND}$	0.0394 ^a	0.0031	0.0488 ^a	0.0057	0.0507 ^a	0.0077	0.0490 ^a	0.0101	1.3613	−1.6613
$β_{BOND}$	0.9551 ^a	0.0012	0.9578 ^a	0.0008	0.9453 ^a	0.0073	0.9456 ^a	0.0073	−1.3247	−3.8049 ^a
$γ_{BOND}$			0.0619 ^a	0.0108			0.0027	0.0112		−1.7454
$λ_{BOND}$	9.2622 ^a	1.4348	9.4044 ^a	1.5015	6.5270 ^a	0.6871	6.5233 ^a	0.6858	−1.7193	0.7443
$μ_{CSTOCK}$	0.0857 ^a	0.0107	0.0619 ^a	0.0108	0.1044^a	0.0241	0.0821^a	0.0249	0.7092	−1.9449
$a_{CSTOCK}$	−0.0524 ^a	0.0179	0.0619 ^a	0.0108	0.0187^a	0.0017	0.0224	0.0172	3.9543 ^a	3.5785 ^a
$ω_{CSTOCK}$	0.0196 ^a	0.0053	−0.0416 ^b	0.0185	0.0343 ^a	0.0110	0.0379 ^a	0.0123	1.2039	1.9173
$α_{CSTOCK}$	0.1599 ^a	0.0207	0.0222 ^a	0.0045	0.0752 ^a	0.0117	0.0434 ^a	0.0101	−3.5622 ^a	41.0708 ^a
$β_{CSTOCK}$	0.8390 ^a	0.0192	0.0057	0.0126	0.9069 ^a	0.0123	0.9081 ^a	0.018	2.9778 ^a	−25.2400 ^a
$γ_{CSTOCK}$			0.7395 ^a	0.0177			0.0748 ^a	0.0195		−0.1285
$λ_{CSTOCK}$	4.4245 ^a	0.3494	4.6916 ^a	0.4063	4.6848 ^a	0.9656	4.5698 ^a	0.8562	0.2535	0.2250
$θ_{1}$	0.0205 ^a	0.0031	0.0221 ^a	0.0031	0.0219 ^a	0.0061	0.0237 ^a	0.0064	0.2046	0.0000
$θ_{2}$	0.9545 ^a	0.0095	0.9450 ^a	0.01135	0.9507 ^a	0.0123	0.9450 ^a	0.0125	−0.2445	−0.3604
$θ_{3}$			0.0038	0.0026			0.0007	0.0082		−3.9220
$λ$	6.5645 ^a	0.3067	6.6234 ^a	0.3135	4.5198 ^a	0.4324	4.5967 ^a	0.4108	−3.8570 ^a	−0.9355 ^a
AIC	12.5270	12.510	15.553	15.548
BIC	12.615	12.610	15.978	16.032
Shibata	12.527	12.510	15.534	15.523
HQ	12.559	12.546	15.721	15.740
LL	−18,378	−18,438	−3114	−3107

Source: Authors’ computation with data sourced from DataStream

^a, ^b, and ^c are the levels of statistical significance at 1%, 5%, and 10%, respectively. To examine the estimates of the two time periods (i.e., Covid vs pre-Covid), we use the bootstrapped version of the Paternoster et al. (1998) approach. The column “compare” shows the z-statistic that is based on the null hypothesis that the COVID-era coefficients are not greater than the pre-COVID coefficients