Dependence structure of market states

31 Mar 2015Desislava ChetalovaMarcel WollschlägerRudi Schäfer

We study the dependence structure of market states by estimating empirical pairwise copulas of daily stock returns. We consider both original returns, which exhibit time-varying trends and volatilities, as well as locally normalized ones, where the non-stationarity has been removed... (read more)

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