全球股票和波动的制度转换vine copula模型

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英文标题：
《Regime switching vine copula models for global equity and volatility
  indices》
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作者：
Holger Fink, Yulia Klimova, Claudia Czado, Jakob St\\\"ober
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最新提交年份：
2016
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英文摘要：
  For nearly every major stock market there exist equity and implied volatility indices. These play important roles within finance: be it as a benchmark, a measure of general uncertainty or a way of investing or hedging. It is well known in the academic literature, that correlations and higher moments between different indices tend to vary in time. However, to the best of our knowledge, no one has yet considered a global setup including both, equity and implied volatility indices of various continents, and allowing for a changing dependence structure. We aim to close this gap by applying Markov-switching $R$-vine models to investigate the existence of different, global dependence regimes. In particular, we identify times of \"normal\" and \"abnormal\" states within a data set consisting of North-American, European and Asian indices. Our results confirm the existence of joint points in time at which global regime switching takes place.
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中文摘要：
几乎每一个主要股票市场都存在股票和隐含波动率指数。这些在金融领域发挥着重要作用：无论是作为基准、总体不确定性的衡量标准，还是投资或对冲的方式。学术文献中众所周知，不同指数之间的相关性和高阶矩往往随时间而变化。然而，据我们所知，还没有人考虑建立一个全球体系，包括各大洲的股票和隐含波动率指数，并允许不断变化的依赖结构。我们的目标是通过应用马尔可夫转换$R$-vine模型来研究不同的全局依赖机制的存在，从而缩小这一差距。特别是，我们在由北美、欧洲和亚洲指数组成的数据集中识别“正常”和“异常”状态的时间。我们的结果证实了全球政权转换发生的联合时间点的存在。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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关键词：Copula opula Vine correlations Quantitative