Chollete, Loran; Heinen, Andreas; Valdesogo, Alfonso - Center for Operations Research and Econometrics … - 2008
regime-switching model of copulas. We model dependence with one Gaussian and onecanonical vine copula regime. Canonical vines … are constructed from bivariate conditional copulas andprovide a very flexible way of characterizing dependence in …In order to capture observed asymmetric dependence in international financial returns, we construct amultivariate …