Hedges or safe havens—revisit the role of gold and USD against stock: a multivariate extended skew-tcopula approach

DOI10.1080/14697688.2016.1176238zbMath1400.91699OpenAlexW2400611512MaRDI QIDQ4554244

Meng-Shiuh Chang, Chinman Chui, Chung-Shin Liu, Ximing Wu

Publication date: 13 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1176238

zbMATH Keywords

goldsafe havenextended skew-\(t\) copulaUSD

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Actuarial science and mathematical finance (91G99)

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