Modeling dependence dynamics through copulas with regime switching
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Cites work
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- scientific article; zbMATH DE number 5080942 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- An Optimum Property of Regular Maximum Likelihood Estimation
- An introduction to copulas.
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- Automatic Block-Length Selection for the Dependent Bootstrap
- Autoregressive Conditional Density Estimation
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
- Efficient estimation of copula-GARCH models
- Finite Continuous Time Markov Chains
- Regime switching for dynamic correlations
- The impact of bootstrap methods on time series analysis
Cited in
(23)- Bubbles and dependence between international equity markets
- On the dynamic dependence and asymmetric co-movement between the US and central and eastern European transition markets
- Regime switching for dynamic correlations
- scientific article; zbMATH DE number 7255568 (Why is no real title available?)
- scientific article; zbMATH DE number 7255570 (Why is no real title available?)
- Copula approach to residuals of regime-switching models
- Modeling dependence structure among European markets and among Asian-Pacific markets: a regime switching regular vine copula approach
- Computational finance: correlation, volatility, and markets
- Accounting for regime and parameter uncertainty in regime-switching models
- The contagion channels of July--August-2011 stock market crash: a DAG-copula based approach
- Assessing dependence between financial market indexes using conditional time-varying copulas: applications to value at risk (VaR)
- Modeling vine-production function: an approach based on vine copula
- Multi-market direction-of-change modeling using dependence ratios
- Regime switches in the dependence structure of multidimensional financial data
- The shifting dependence dynamics between the G7 stock markets
- Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
- Estimating dynamic copula dependence using intraday data
- A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL
- Dynamic D-vine copula model with applications to Value-at-Risk (VaR)
- Dependence structure of market states
- Goodness‐of‐fit for regime‐switching copula models with application to option pricing
- Dependence and risk spillover among hedging assets: evidence from Bitcoin, gold, and USD
- Hidden Markov structures for dynamic copulae
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