@TECHREPORT{BoudtDanielssonKoopmanLucas2012,
  author = {K. Boudt, K. and J{\'o}n Dan{\'i}elsson and S. J. Koopman  and Lucas, A.},
  title = {Regime switches in the volatility and correlation of financial institutions},
  year = {2012},
  month = sep,
  institution = {National Bank of Belgium},
  url={https://ssrn.com/abstract=2160835},
  abstract={We propose a parsimonious regime switching model to characterize the dynamics in the volatilities and correlations of US deposit banks stock returns over 1994-2011. A first innovative feature of the model is that the within-regime dynamics in the volatilities and correlation depend on the shape of the Student t innovations. Secondly, the across-regime dynamics in the transition probabilities of both volatilities and correlations are driven by macro-financial indicators such as the Saint Louis Financial Stability index, VIX or TED spread. We find strong evidence of time-variation in the regime switching probabilities and the within-regime volatility of most banks. The within-regime dynamics of the equicorrelation seem to be constant over the period.},
 
}