Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the U.S. stock market

DOI10.1214/23-AOAS1801arXiv2208.00952OpenAlexW4391418117WikidataQ128976304 ScholiaQ128976304MaRDI QIDQ6128446

Maria De Iorio, Alexandros Beskos, Karolina Grzeszkiewicz, Warrick Poklewski Koziell, Beatrice Franzolini

Publication date: 15 April 2024

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2208.00952

zbMATH Keywords

stochastic volatilitygraphical modelsparticle filterprecision matrixCoronavirus pandemicindustry portoflios

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

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