Yongil Jeon

Learn More
We propose a new model for the variance between multiple time series, the Regime Switching Dynamic Correlation. We decompose the covariances into correlations and standard deviations and the correlation matrix follows a regime switching model; it is constant within a regime but different across regimes. The transitions between the regimes are governed by a(More)
This article maybe used for research, teaching and private study purposes. Any substantial or systematic reproduction, redistribution , reselling , loan or sub-licensing, systematic supply or distribution in any form to anyone is expressly forbidden. The publisher does not give any warranty express or implied or make any representation that the contents(More)
  • 1