When Safe-Haven Asset Is Less than a Safe-Haven Play
提出四状态区制转换模型，检验八种股票-避险资产组合的风险特性，发现黄金、美国国债和瑞士法郎是全面避险资产，而比特币是部分避险资产。
Abstract We propose a four-state regime-switching model that pairs low-volatility and high-volatility (HV) states to test eight stock–safe-haven asset portfolios’ risk properties. We find the correlations between gold, U.S. T-bond, and the Swiss franc and stock markets are negative or zero in all states, including the HV–HV state, while the correlations between Bitcoin (BTC) and stock markets are positive in the HV–HV state, implying that gold, T-bond, and the Swiss franc are full safe-havens and BTC is a partial safe-haven asset. Moreover, our model is effective in portfolio construction, performing better than conventional time-varying generalized autoregressive conditional heteroskedasticity-based models.