Modeling International Financial Returns with a Multivariate Regime-switching Copula
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance
Link
http://academic.oup.com/jfec/article-pdf/7/4/437/2345158/nbp014.pdf
Reference29 articles.
1. Pair-copula constructions of multiple dependence
2. International Asset Allocation With Regime Shifts
3. Regime Switches in Interest Rates
4. Asymmetric correlations of equity portfolios
5. Vines--a new graphical model for dependent random variables
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