Regime Switching Vine Copula Models for Global Equity and Volatility Indices
نویسندگان
چکیده
منابع مشابه
Volatility Risk for Regime Switching Models
Regime switching models have proven to be well-suited for capturing the time series behavior of many financial variables. In particular, they have become a popular framework for pricing equity-linked insurance products. The success of these models demonstrates that realistic modeling of financial time series must allow for random changes in volatility. In the context of valuation of contingent ...
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ژورنال
عنوان ژورنال: Econometrics
سال: 2017
ISSN: 2225-1146
DOI: 10.3390/econometrics5010003