Loran, CHOLLETTE; Andreas, HEINEN; Alfonso, VALDESOGO - Institut de Recherche Économique et Sociale (IRES), … - 2008
In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copula. We model dependence with one Gaussian and one canonical vine copula regime. Canonical vines are construted from bivariate conditional copulas and...