Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models

DOI10.1080/07350015.2018.1505630zbMath1547.62608MaRDI QIDQ6626310

Lajos Horváth, Marco R. Barassi, Yuqian Zhao

Publication date: 28 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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