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For nearly every major stock market there exist equity and implied volatilityindices. These play important roles within finance: be it as a benchmark, ameasure of general uncertainty or a way of investing or hedging. It is wellknown in the academic literature, that correlations and higher moments betweendifferent indices tend to vary in time. However, to the best of our knowledge,no one has yet considered a global setup including both, equity and impliedvolatility indices of various continents, and allowing for a changingdependence structure. We aim to close this gap by applying Markov-switching$R$-vine models to investigate the existence of different, global dependenceregimes. In particular, we identify times of "normal" and "abnormal" stateswithin a data set consisting of North-American, European and Asian indices. Ourresults confirm the existence of joint points in time at which global regimeswitching takes place.

Regime switching vine copula models for global equity and volatility indices