The shifting dependence dynamics between the G7 stock markets
提出马尔可夫转换藤Copula模型，分析G7股指在危机与正常时期的联动结构变化，发现危机期传染风险高且藤Copula优于多元t Copula，对投资组合设计和风险传染研究有参考价值。
The growing interdependence between financial markets has attracted special attention from academic researchers and finance practitioners for the purpose of optimal portfolio design and contagion analysis. This article develops a tractable regime-switching version of the copula functions to model the intermarkets linkages during turmoil and normal periods, while taking into account structural changes. More precisely, Markov regime-switching C-vine and D-vine decompositions of the Student’s t copula are proposed and applied to returns on diversified portfolios of stocks, represented by the G7 stock market indices. The empirical results show evidence of regime shifts in the dependence structure with high contagion risk during crisis periods. Moreover, both the C- and D-vines highly outperform the multivariate Student’s t copula, which suggests that the shock transmission path is as important as the dependence itself, and is better detected with a vine copula decomposition.