Regime switches in the dependence structure of multidimensional financial data
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Publication:1623563
DOI10.1016/j.csda.2013.04.002zbMath1506.62172MaRDI 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
62-08: Computational methods for problems pertaining to statistics
62H12: Estimation in multivariate analysis
62P05: Applications of statistics to actuarial sciences and financial mathematics
62H20: Measures of association (correlation, canonical correlation, etc.)
62F15: Bayesian inference
62H05: Characterization and structure theory for multivariate probability distributions; copulas
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