Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX : evidence using Markov-switching copulas
Year of publication: |
2022
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Authors: | Abakah, Emmanuel Joel Aikins ; Tiwari, Aviral Kumar ; Alagidede, Imhotep Paul ; Gil-Alaña, Luis A. |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 47.2022, 1, p. 1-8
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Subject: | Markov-switching copulas | Risk-return | Stock markets | Time-varying | Uncertainty | Risiko | Risk | Multivariate Verteilung | Multivariate distribution | Kapitaleinkommen | Capital income | Markov-Kette | Markov chain | Aktienmarkt | Stock market | Schätzung | Estimation | Volatilität | Volatility | Börsenkurs | Share price | Welt | World | ARCH-Modell | ARCH model |
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