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Considering the asymmetric dependency structure and regime switching process, we construct the dynamic Markov Regime Switching Copula (MRS-Copula) models to measure the financial risk contagion. The dynamic MRS-Copula models consist of the marginal model and dynamic MRS Rotated-Gumbel function, and they are examined by the goodness-of-fit test method. Using the dynamic MRS-Copula models, we calculate...
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