What makes a safe haven? : equity and currency returns for six OECD countries during the financial crisis
Year of publication: |
November 2016
|
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Authors: | Min, Hong-ghi ; McDonald, Judith Ann ; Shin, Sang-Ook |
Published in: |
Annals of economics and finance. - Beijing : Peking University Press, ISSN 1529-7373, ZDB-ID 2097904-6. - Vol. 17.2016, 2, p. 365-402
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Subject: | GARCH | Dynamic conditional correlations | Safe haven | Flight to quality | Wealth effect | Substitution effect | Stock market volatility index | Foreign-exchange volatility index | Interest-rate differentials | TED spread | Credit-default swap spread | Volatilität | Volatility | Finanzkrise | Financial crisis | ARCH-Modell | ARCH model | Zinsstruktur | Yield curve | Schätzung | Estimation | Aktienmarkt | Stock market | Börsenkurs | Share price | Deutschland | Germany | Kapitaleinkommen | Capital income | Vermögenseffekt |
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