Flavin, Thomas J.; Morley, Ciara E.; Panopoulou, Ekaterini - In: Journal of International Financial Markets, … 33 (2014) C, pp. 137-154
Our analysis takes the perspective of an equity fund manager who seeks a potential safe haven asset to protect her portfolio during market downturns. We employ a regime-switching framework, within which we separate common and idiosyncratic shocks, to assess the suitability of gold, 10-year and...