Chollete, Lorán; Heinen, Andréas; Valdesogo, Alfonso - In: Journal of Financial Econometrics 7 (2009) 4, pp. 437-480
In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula regime. Canonical vines are constructed from bivariate conditional copulas and...