Regime switches in the dependence structure of multidimensional financial data

DOI10.1016/j.csda.2013.04.002zbMath1506.62172OpenAlexW2057373443MaRDI QIDQ1623563

Jakob Stöber, Claudia Czado

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2013.04.002

zbMATH Keywords

copulaMarkov switchingfinancial returns\(R\)-vine

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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