FHM factor Copula
收藏Mendeley Data2026-04-18 收录
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资源简介：
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.
创建时间：
2025-04-28
