FHM factor Copula

Published: 28 April 2025| Version 1 | DOI: 10.17632/vx7wb3vg22.1
Contributor:
chang jing

Description

To capture non-smooth changes in dynamic dependence, we incorporate a factorial hidden Markov regime-switching model within the factor Copula framework. This approach allows us to construct a factorial hidden Markov (FHM) factor Copula model that captures external shocks of varying magnitude, direction and short or long-term effect from significant events to multi-dimensional dependence.

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Institutions

  • Zhejiang Gongshang University

Categories

Risk Management

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