User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Stöber, J., and Czado, C. 
Title:
Regime switches in the dependence structure of multidimensional financial data 
Abstract:
Misperceptions about extreme dependencies between different financial assets have been an important ele- ment of the recent financial crisis. This paper studies inhomogeneity in dependence structures using Markov switching regular vine copulas. These account for asymmetric dependencies and tail dependencies in high dimensional data. We develop methods for fast maximum likelihood as well as Bayesian inference. Our algo- rithms are validated in simulations and applied to financial dat...    »
 
Keywords:
Copula, R-vine financial returns, pair-copula construction, Markov switching 
Journal title:
Computational Statistics and Data Analysis 
Year:
2014 
Journal volume:
76 
Year / month:
2014-08 
Pages contribution:
672-686 
Reviewed:
ja 
Language:
en 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text