In order to improve the dynamic assessment of financial market interdependencies, we develop a new Markov switching approach to multivariate volatility modelling. More specific, we take advantage of the flexible copula multivariate GARCH model of Lee and Long (2009), and allow state dependence...

In multichannel retailing, customers often use a mix of a firm's online and physical stores for their search and buy activities. We define the customer's “channel engagement” as a latent attitude or predisposition towards the firm's online and offline channels which dynamically transitions...