Search Results - subject:"regime switching copula"

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Dependence and systemic risk analysis between S&P 500 index and sector indexes : a conditional value-at-risk approach

Jiao, Shoukun; Ye, Wuyi - In: Computational economics 59 (2022) 3, pp. 1203-1229

Persistent link: https://www.econbiz.de/10013169244

Flight-to-quality in the stock-bond return relation : a regime-switching copula approach

Tachibana, Minoru - In: Financial markets and portfolio management 34 (2020) 4, pp. 429-470

Persistent link: https://www.econbiz.de/10012309920

Grouping Stock Markets with Time-Varying Copula-GARCH Model

CZAPKIEWICZ, Anna; MAJDOSZ, Pawel - In: Czech Journal of Economics and Finance (Finance a uver) 64 (2014) 2, pp. 144-159

these data, the Markov regime switching copula model with two regimes is considered. For the dynamic clustering purposes …, the time varying Spearman ratio obtained from the regime switching copula model is taken to construct the dissimilarity …

Persistent link: https://www.econbiz.de/10010762649

Measuring financial market risk contagion using dynamic MRS-Copula models : the case of Chinese and other international stock markets

Changqing, Luo; Chi, Xie; Cong, Yu; Yan, Xu - In: Economic modelling 51 (2015), pp. 657-671

Persistent link: https://www.econbiz.de/10011476241

Grouping stock markets with time-varying Copula-GARCH model

Czapkiewicz, Anna; Majdosz, Paweł - In: Finance a úvěr 64 (2014) 2, pp. 144-159

Persistent link: https://www.econbiz.de/10010340205

Modelling tail dependence between energy market and stock markets in the BRIC countries

Pan, Zhiyuan - In: Applied economics letters 21 (2014) 10/12, pp. 789-794

Persistent link: https://www.econbiz.de/10010416269