• Corpus ID: 88519469

Multivariate Markov-Switching models and tail risk interdependence

  title={Multivariate Markov-Switching models and tail risk interdependence},
  author={Mauro Bernardi and Antonello Maruotti and Lea Petrella},
  journal={arXiv: Methodology},
Markov switching models are often used to analyze financial returns because of their ability to capture frequently observed stylized facts. In this paper we consider a multivariate Student-t version of the model as a viable alternative to the usual multivariate Gaussian distribution, providing a natural robust extension that accounts for heavy-tails and time varying non-linear correlations. Moreover, these modelling assumptions allow us to capture extreme tail co-movements which are of… 

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