Concepedia

Regime-switching Copulas

Regime-Switching Copulas is a statistical modeling framework that belongs to the class of copula-based dependence models, distinguished by its incorporation of regime-switching mechanisms to capture time-varying dependence structures across different market or economic states.

35

Publications

2.3K

Citations

61

Authors

58

Institutions

Publications per year

2017–2026

15

Parents

Publications

35

Financial crises and stock market contagion in a multivariate time-varying asymmetric framework

Dimitris Kenourgios, Aristeidis Samitas, Nikos Paltalidis · Journal of International Financial Markets Institutions and Money · 2010 · 423 citations · Full text

, , +17

Modeling International Financial Returns with a Multivariate Regime-switching Copula

Lorán Chollete, Andréas Heinen, Alfonso Valdesogo · Journal of Financial Econometrics · 2009 · 273 citations

, , +16

Dependence structure and extreme comovements in international equity and bond markets

René García, Georges Tsafack · Journal of Banking & Finance · 2011 · 269 citations

, , +17

New Evidence of Asymmetric Dependence Structures in International Equity Markets

Tatsuyoshi Okimoto · Journal of Financial and Quantitative Analysis · 2008 · 250 citations · Full text

, , +17

Modelling sample selection using Archimedean copulas

Murray Smith · Econometrics Journal · 2003 · 200 citations · Full text

, , +15

1–5 of 35

Authors

61

  1. DK
    Dimitris Kenourgios

    National and Kapodistrian University of Athens, Greece

    3 publications · 447 citations

    3

    h-index

  2. NP
    Nikos Paltalidis

    Durham University, United Kingdom

    3 publications · 447 citations

    3

    h-index

  3. AS
    Aristeidis Samitas

    University of the Aegean, Greece

    3 publications · 447 citations

    3

    h-index

  4. GT
    Georges Tsafack

    Suffolk University, United States

    2 publications · 280 citations

    2

    h-index

  5. HL
    Hsiang‐Tai Lee

    National Chi Nan University, Taiwan

    2 publications · 67 citations

    2

    h-index

1–5 of 61

Institutions

58

  1. National and Kapodistrian University of Athens

    Athens, Greece

    3 h-index

    3 publications

    447 citations

  2. University of the Aegean

    Mytilene, Greece

    3 h-index

    3 publications

    447 citations

  3. Osaka Prefecture University

    Sakai, Japan

    2 h-index

    2 publications

    28 citations

  4. University of Sousse

    Sousse, Tunisia

    2 h-index

    2 publications

    112 citations

  5. Suffolk University

    Boston, United States

    2 h-index

    2 publications

    280 citations

  6. IPAG Business School

    Paris, France

    2 h-index

    3 publications

    102 citations

  7. Durham University

    Durham, United Kingdom

    2 h-index

    2 publications

    24 citations

  8. City, University of London

    London, United Kingdom

    2 h-index

    2 publications

    447 citations

1–8 of 58

Venues

  1. SSRN Electronic Journal

    Repository · 5 publications · 68 citations

    5

    h-index

  2. International Review of Financial Analysis

    IRFA · 3 publications · 110 citations

    3

    h-index

  3. Journal of Futures Markets

    2 publications · 68 citations

    2

    h-index

  4. arXiv (Cornell University)

    Repository · 1 publications · 22 citations

    1

    h-index

  5. Econometrics

    1 publications · 56 citations

    1

    h-index

1–5