Safe haven assets for international stock markets : a regime-switching factor copula approach
Minoru Tachibana
| Year of publication: |
2022
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|---|---|
| Authors: | Tachibana, Minoru |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 60.2022, p. 1-30
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| Subject: | Gibbs sampling | Hamiltonian Monte Carlo | International stock markets | Regime-switching factor copula model | Safe haven asset | Multivariate Verteilung | Multivariate distribution | Internationaler Finanzmarkt | International financial market | Portfolio-Management | Portfolio selection | Aktienmarkt | Stock market | Markov-Kette | Markov chain | Welt | World | Börsenkurs | Share price | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2021.101591 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013411126