Regime switches in the dependence structure of multidimensional financial data
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Publication:1623563
DOI10.1016/j.csda.2013.04.002zbMath1506.62172OpenAlexW2057373443MaRDI QIDQ1623563
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
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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