Time-Varying Linkage of the Possible Safe-Haven Assets : A Cross-Market and Cross-Asset Analysis

This paper contributes to apply the time-varying symmetrized Joe-Clayton copula to study the dynamic linkage among possible safe haven assets in the international major markets over the past 34 years. We re-examine four major asset types (long-term government bond, equity index, oil, and gold) and confirm if they are qualified individually as a safe haven asset against the other paired one

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Year of publication:	2015
Authors:	Nguyen, Phong
Other Persons:	Liu, Wei-Han (contributor)
Publisher:	[2015]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (59 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 15, 2015 erstellt
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; F3 - International Finance ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013028105