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Detecting changes in cross-sectional dependence in multivariate time series

A. Bücher Ivan Kojadinovic 1 Tom Rohmer J. Segers 2
1 LMAP - Laboratoire de Mathématiques et de leurs Applications [Pau]
2 Institut de Statistique, Biostatistique et Sciences Actuarielles (ISBA)
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Submitted on : Tuesday, June 18, 2019 - 11:10:57 AM
Last modification on : Tuesday, January 18, 2022 - 5:28:02 PM

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  • HAL Id : hal-02158618, version 1

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A. Bücher, Ivan Kojadinovic, Tom 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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