Boudt, Kris; Danielsson, Jon; Koopman, Siem Jan; Lucas, … - Nationale Bank van België/Banque national de Belqique (BNB) - 2012
We propose a parsimonious regime switching model to characterize the dynamics in the volatilities and correlations of US deposit banks' stock returns over 1994-2011. A first innovative feature of the model is that the within-regime dynamics in the volatilities and correlation depend on the shape...