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Detecting changes in cross-sectional dependence in multivariate time series

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https://hal-univ-pau.archives-ouvertes.fr/hal-02158618
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Submitted on : Tuesday, June 18, 2019 - 11:10:57 AM
Last modification on : Tuesday, April 21, 2020 - 1:57:01 AM

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A. Bücher, Ivan Kojadinovic, T.  Rohmer, J. Segers. Detecting changes in cross-sectional dependence in multivariate time series. Journal of Multivariate Analysis, Elsevier, 2014, 132, pp.111--128. ⟨hal-02158618⟩

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