A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach

126 citations recorded by the source corpus.

Citations in the corpus

The shifting dependence dynamics between the G7 stock markets (2018, unknown): “† The literature dealing with regime-switching copula is abundant (see, for example, Okimoto 2008, Silva Filho et al. 2012, Wang et al. 2013, among others).”
Regime Switching Vine Copula Models for Global Equity and Volatility Indices (2016, unknown): “The general idea of such setups based on Markov chains was introduced by Hamilton (1989) and has recently been linked with copula models as well (cf. Chollete et al. (2009), da Silva Filhoa et al. (2012), Wang et al. (2013) or Stöber and Czado (2014)).”