This paper proposes a flexible way of modeling dynamic heterogeneous covariance breakdowns in multivariate GARCH (MGARCH) models. During periods of normal market activity, volatility dynamics are governed by an MGARCH specification. A covariance breakdown is any significant temporary deviation...

In this article, the dependence structure of the asset classes stocks, government bonds, and corporate bonds in different market environments and its implications on asset management are investigated for the US, European, and Asian market. Asset returns are modelled by a Markov-switching model...