"Modeling International Financial Returns with a Multivariate Regime-switching Copula" by Lorán Chollete

Selected Works of Loran Chollete

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Modeling International Financial Returns with a Multivariate Regime-switching Copula

Journal of Financial Econometrics (2009)

Lorán Chollete
Andreas Heinen, Universidad Carlos III de Madrid
Alfonso Valdesogo, Universidad Carlos III de Madrid

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Disciplines

Applied Statistics,
Econometrics,
Finance,
Finance and Financial Management,
International Business,
International Economics,
Macroeconomics,
Multivariate Analysis and
Portfolio and Security Analysis

Publication Date

2009

Citation Information

Lorán Chollete, Andreas Heinen and Alfonso Valdesogo. "Modeling International Financial Returns with a Multivariate Regime-switching Copula" Journal of Financial Econometrics Vol. 7 Iss. 4 (2009)
Available at: http://works.bepress.com/loran-chollete/3/