Nonparametric dependence modeling via cluster analysis: A financial contagion application

DOI10.1080/03610918.2018.1563152MaRDI QIDQ5084004zbMATH OpenOpenAlexFDO

Authors Ricardo F. Couto, Denise Burgarelli, Felipe Álvares, Gladston J. P. Moreira, Luiz Henrique Duczmal

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2018.1563152

zbMATH Keywords

anomaly detectionextreme value theorynonlinear data structurespattern recognitionscan statisticsVoronoi metric

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• A Dependence Metric for Possibly Nonlinear Processes
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• Detecting serial dependencies with the reproducibility probability autodependogram
• Handbook of Financial Time Series
• scientific article; zbMATH DE number 1455125 (Why is no real title available?)
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• Possible generalization of Boltzmann-Gibbs statistics.
• Prospective Time Periodic Geographical Disease Surveillance Using a Scan Statistic
• Testing for Serial Independence: Beyond the Portmanteau Approach
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• Tests of independence and randomness based on the empirical copula process
• The autodependogram: a graphical device to investigate serial dependences
• The Kullback-Leibler autodependogram
• Using the Autodependogram in Model Diagnostic Checking

Cited in

(1)

• Identifying household finance heterogeneity via deep clustering

Describes a project that uses

Uses Software

• SDD

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