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dc.contributor.authorChollete, Lorán
dc.contributor.authorHeinen, Andreas
dc.date.accessioned2007-06-21T12:02:32Z
dc.date.available2007-06-21T12:02:32Z
dc.date.issued2006-07
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/163891
dc.description.abstractHow 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 of normal copulas, based on both economic and econometric justification. In order to answer the second question, we develop and estimate a hidden markov model of copulas, which allows for dynamic clustering of correlations. These models permit one to infer the relative importance of turbulent and quiescent periods in international markets. Empirically, the three most striking findings are as follows. First, for the unconditional model, turbulent regimes are more common. Second, the conditional copula model dominates the unconditional model. Third, turbulent regimes tend to be more persistent.en
dc.language.isoengen
dc.publisherNorwegian School of Economics and Business Administration. Department of Finance and Management Scienceen
dc.relation.ispartofseriesDiscussion paperen
dc.relation.ispartofseries2006:10en
dc.subjectinternational marketsen
dc.subjectturbulenceen
dc.subjectHidden Markov Modelen
dc.subjectCopulaen
dc.titleFrequent Turbulence? A Dynamic Copula Approachen
dc.typeWorking paperen
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210en


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