  For nearly every major stock market there exist equity and implied volatility
indices. These play important roles within finance: be it as a benchmark, a
measure of general uncertainty or a way of investing or hedging. It is well
known in the academic literature, that correlations and higher moments between
different 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 implied
volatility indices of various continents, and allowing for a changing
dependence structure. We aim to close this gap by applying Markov-switching
$R$-vine models to investigate the existence of different, global dependence
regimes. In particular, we identify times of "normal" and "abnormal" states
within a data set consisting of North-American, European and Asian indices. Our
results confirm the existence of joint points in time at which global regime
switching takes place.
