Safe Haven Assets for International Stock Markets : A Regime-Switching Factor Copula Approach

• Tachibana Minoru

Abstract

application/pdf

Discussion Paper New Series. 2021, 2021 (2), P.1-49

Journal

• Discussion Paper New Series

  Discussion Paper New Series 2021 (2), 1-49, 2021-04

  School of Economics Osaka Prefecture University

Keywords

• Safe haven asset
• International stock markets
• Regime-switching factor copula model
• Gibbs sampling
• Hamiltonian Monte Carlo

Details

• CRID: 1390853649815746432
• NII Article ID: 120007026024
• DOI: 10.24729/00017341
• HANDLE: 10466/00017341
• Web Site: https://omu.repo.nii.ac.jp/records/12242
• Text Lang: en
• Data Source:
  • JaLC
  • IRDB
  • CiNii Articles