Modeling dependence dynamics through copulas with regime switching
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Hansen, Bruce E, 1994.
"Autoregressive Conditional Density Estimation,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-730, August.
- Hansen, B.E., 1992. "Autoregressive Conditional Density Estimation," RCER Working Papers 322, University of Rochester - Center for Economic Research (RCER).
- Tom Doan, "undated". "RATS programs to replicate Hansen's GARCH models with time-varying t-densities," Statistical Software Components RTZ00086, Boston College Department of Economics.
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- Berkowitz, Jeremy, 2001. "Testing Density Forecasts, with Applications to Risk Management," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 465-474, October.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Yuliya Demyanyk & Otto Van Hemert, 2011.
"Understanding the Subprime Mortgage Crisis,"
Review of Financial Studies,
Society for Financial Studies, vol. 24(6), pages 1848-1880.
- Jondeau, Eric & Rockinger, Michael, 2006. "The Copula-GARCH model of conditional dependencies: An international stock market application," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 827-853, August.
- Lorán Chollete & Andréas Heinen & Alfonso Valdesogo, 2009.
"Modeling International Financial Returns with a Multivariate Regime-switching Copula,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 7(4), pages 437-480, Fall.
- Loran , CHOLLETTE & Andreas , HEINEN & Alfonso , VALDESOGO, 2008. "Modelling international financial returns with a multivariate regime switching copula," Discussion Papers (ECON - Département des Sciences Economiques) 2008011, Université catholique de Louvain, Département des Sciences Economiques.
- CHOLLETE, Loran & HEINEN, Andréas & VALDESOGO, Alfonso, 2008. "Modeling international financial returns with a multivariate regime switching copula," CORE Discussion Papers 2008013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Chollete, Loran & Heinen, Andreas & Valdesogo, Alfonso, 2008. "Modeling International Financial Returns with a Multivariate Regime Switching Copula," MPRA Paper 8114, University Library of Munich, Germany.
- Chollete, Lorán & Heinen, Andréas & Valdesogo, Alfonso, 2008. "Modeling International Financial Returns with a Multivariate Regime Switching Copula," Discussion Papers 2008/3, Norwegian School of Economics, Department of Business and Management Science.
- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
- Alexandra Dias & Paul Embrechts, 2004. "Dynamic copula models for multivariate high-frequency data in finance," Working Papers wpn04-01, Warwick Business School, Finance Group.
- Garcia, René & Tsafack, Georges, 2011.
"Dependence structure and extreme comovements in international equity and bond markets,"
Journal of Banking & Finance,
Elsevier, vol. 35(8), pages 1954-1970, August.
- René Garcia & Georges Tsafack, 2009. "Dependence Structure and Extreme Comovements in International Equity and Bond Markets," CIRANO Working Papers 2009s-21, CIRANO.
- Liu, Yan & Luger, Richard, 2009. "Efficient estimation of copula-GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2284-2297, April.
- Ling Hu, 2006. "Dependence patterns across financial markets: a mixed copula approach," Applied Financial Economics, Taylor & Francis Journals, vol. 16(10), pages 717-729.
- Härdle, Wolfgang & Horowitz, Joel L. & Kreiss, Jens-Peter, 2001. "Bootstrap methods for time series," SFB 373 Discussion Papers 2001,59, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Dimitris Politis & Halbert White, 2004. "Automatic Block-Length Selection for the Dependent Bootstrap," Econometric Reviews, Taylor & Francis Journals, vol. 23(1), pages 53-70.
- Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 401-423, June.
- Andrew J. Patton, 2006. "Modelling Asymmetric Exchange Rate Dependence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 47(2), pages 527-556, May.
- Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, January.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Bartels, Mariana & Ziegelmann, Flavio A., 2016. "Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 66-79.
- Jayech, Selma, 2016. "The contagion channels of July–August-2011 stock market crash: A DAG-copula based approach," European Journal of Operational Research, Elsevier, vol. 249(2), pages 631-646.
- Holger Fink & Yulia Klimova & Claudia Czado & Jakob Stober, 2016. "Regime switching vine copula models for global equity and volatility indices," Papers 1604.05598, arXiv.org.
- Qiang Ji & Bing-Yue Liu & Juncal Cunado & Rangan Gupta, 2017. "Risk Spillover between the US and the Remaining G7 Stock Markets Using Time-Varying Copulas with Markov Switching: Evidence from Over a Century of Data," Working Papers 201759, University of Pretoria, Department of Economics.
- repec:eee:phsmap:v:486:y:2017:i:c:p:595-609 is not listed on IDEAS
- Tófoli, Paula Virgínia & Ziegelmann, Flávio Augusto & Silva Filho, Osvaldo Candido & Pereira, Pedro L. Valls, 2016. "Dynamic D-Vine copula model with applications to Value-at-Risk (VaR)," Textos para discussão 424, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
- Oliveira, André Barbosa & Pereira, Pedro L. Valls, 2018. "Uncertainty times for portfolio selection at financial market," Textos para discussão 473, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
- repec:ibn:ijefaa:v:9:y:2017:i:10:p:155-178 is not listed on IDEAS
- Fousekis, Panos & Grigoriadis, Vasilis, 2016. "Spatial price dependence by time scale: Empirical evidence from the international butter markets," Economic Modelling, Elsevier, vol. 54(C), pages 195-204.
- Chang, Kuang-Liang, 2017. "Does REIT index hedge inflation risk? New evidence from the tail quantile dependences of the Markov-switching GRG copula," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 56-67.
More about this item
KeywordsAsymmetric dependence; Copulas; Markov switching; Bootstrap test;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:50:y:2012:i:3:p:346-356. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .