The table presents the correlation among illiquidity series and volatility series for all financial markets. The sample runs from January 1, 2010 to March 22, 2021.
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 factoria
This article introduces a graphical goodness-of-fit test for copulas in more than two dimensions. The test is based on pairs of variables and can thus be interpreted as a first-order approximation of
