Regime switching vine copula models for global equity and volatility indices
Year of publication: |
2017
|
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Authors: | Fink, Holger ; Klimova, Yulia ; Czado, Claudia ; Stöber, Jakob |
Published in: |
Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 5.2017, 1, p. 1-38
|
Publisher: |
Basel : MDPI |
Subject: | regular vine copulas | Markov switching | implied volatility index | equity index | global dependence regimes |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3390/econometrics5010003 [DOI] 888239130 [GVK] hdl:10419/171902 [Handle] |
Classification: | c58 ; C52 - Model Evaluation and Testing ; C10 - Econometric and Statistical Methods: General. General ; G10 - General Financial Markets. General |
Source: |
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