Wang, Yi-Chiuan; Wu, Jyh-Lin; Lai, Yi-Hao - In: Journal of Banking & Finance 37 (2013) 5, pp. 1706-1719
This paper develops a dependence-switching copula model to examine dependence and tail dependence for four different market statuses, namely, rising-stocks/appreciating-currency, falling-stocks/depreciating-currency, rising-stocks/depreciating-currency, and falling-stocks/appreciating-currency....