Template-Type: ReDIF-Article 1.0 
Author-Name: Bayu Adi Nugroho
Author-Email:  bayunugrohomito@gmail.com
Author-Workplace-Name:  STIE YKPN, Yogyakarta, Indonesia
Title: Asia-Pacific Islamic Stocks and Gold - A Markov-switching Copula Estimation
Abstract:  This paper tests regime changes of the conditional dependence between Asia-Pacific Islamic stocks and gold. Relying on a time-varying Student’s t copula with Markov-switching autoregressive conditional heteroskedasticity (MSGARCH), this paper finds the dependence is negative and significant, implying strong diversification benefits. In addition, the copula with MSGARCH is the best-fitting model. Finally, the copula with a single-regime specification consistently outperforms the other models when forecasting value at risk.
Classification-JEL:  E51,N3,C13
Keywords:  Stock,Gold,Islamic
Journal:  Asian Economics Letters
Pages: 1-6
Volume: 3
Issue: 1
Year:  2022
DOI:  2022/06/16
File-URL:  https://a-e-l.scholasticahq.com/api/v1/articles/29949-asia-pacific-islamic-stocks-and-gold-a-markov-switching-copula-estimation.pdf
File-Format:  Application/pdf
Handle:  RePEc:ayb:jrnael:62