Table 3 The definition of weak/strong safe-haven properties
No | Name of the property | Definition |
|---|---|---|
1 | Strong safe haven | The asset is a strong safe haven when the interval of plus/minus two posterior standard deviations from the posterior mean of conditional correlation with the market index is below zero in times of market distress |
2 | Weak safe haven | The asset is a weak safe haven when the interval of plus/minus two posterior standard deviations from the posterior mean of conditional correlation with the market index includes zero in times of market distress |