Gold price and stock markets nexus under mixed-copulas
作者： Cuong Nguyen , B.M Ishaq , K Magda , K and Jozef , None
DOI: 10.1016/J.ECONMOD.2016.05.024
关键词:
摘要: Abstract This paper investigates the role of gold as a safe haven in international stock markets using various copula techniques to capture complex dependencies between and prices. It creates new class mix copulas from Clayton, Frank, Gumbel Joe copulas. The employs parametric nonparametric over 11 years daily data (1999–2010) seven countries' understand nexus results show that may be asset during market crash for case Malaysia, Singapore, Thailand, UK US but not Indonesian, Japanese Philippines markets. These are great interest investors risk managers comprehend portfolio diversification benefits reductions tranquil downturn periods by including their investment portfolios.
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