Regime switches in the dependence structure of multidimensional financial data - Stöber, Jakob; Czado, Claudia (Computational statistics & data analysis, 2014)
Keywords: [formula omitted]-vine; algorithms; Asymmetry; Bayesian theory; Computer simulation; Copula; Data processing; economic crises; financial assets; financial institutions; Financial returns; Inhomogeneity; Markets; Markov switching; statistical analysis; Statistics; Switches; Switching; Financial returns; Copula; R-vine; Markov switching