Testing for time-varying nonlinear dependence structures: regime-switching and local Gaussian correlation

DOI10.1111/sjos.12744MaRDI QIDQ6608183

Kristian Gundersen, Jan Bulla, Sondre Hølleland, Antonello Maruotti, Unnamed Author, Bård Støve

Publication date: 19 September 2024

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

hidden Markov modelsfinancial time seriesdependencelocal Gaussian correlation

Mathematics Subject Classification ID

Statistics (62-XX)

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