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
Emmanuel Joel Aikins Abakah, Aviral Kumar Tiwari, Imhotep Paul Alagidede, Luis Alberiko Gil-Alana
| 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 | Aktienmarkt | Stock market | Multivariate Verteilung | Multivariate distribution | Markov-Kette | Markov chain | Volatilität | Volatility | Kapitaleinkommen | Capital income | Schätzung | Estimation | Börsenkurs | Share price | ARCH-Modell | ARCH model | Welt | World | Internationaler Finanzmarkt | International financial market | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2021.102535 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013455804