CHOLLETE, Loran; HEINEN, Andréas; VALDESOGO, Alfonso - Center for Operations Research and Econometrics (CORE), … - 2008
In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula regime. Canonical vines are constructed from bivariate conditional copulas and...