Browsing NHH Brage by Author "Heinen, Andreas"
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Frequent Turbulence? A Dynamic Copula Approach
Chollete, Lorán; Heinen, Andreas (Discussion paper, Working paper, 2006-07)How common and how persistent are turbulent periods? We address these questions by developing and applying a dynamic dependence framework. In order to answer the first question we estimate an unconditional mixture model ... -
Modeling international financial returns with a multivariate regime switching copula
Chollete, Lorán; Heinen, Andreas; Valdesogo, Alfonso (Discussion paper, Working paper, 2008-03)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 ...