Nonparametric dependence modeling via cluster analysis: A financial contagion application
DOI10.1080/03610918.2018.1563152zbMath1489.62327OpenAlexW2913160357MaRDI QIDQ5084004
Felipe Álvares, Gladston J. P. Moreira, Ricardo F. Couto, Denise Burgarelli, 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
pattern recognitionextreme value theoryscan statisticsanomaly detectionnonlinear data structuresVoronoi metric
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)
Uses Software
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