Regime switches in the dependence structure of multidimensional financial data
type: Item
instance of: scholarly article
title: Regime switches in the dependence structure of multidimensional financial data
zbMATH Open document ID: 1506.62172
author: Jakob Stöber
author: Claudia Czado
published in: Computational Statistics and Data Analysis
publication date: 2018-11-23T00:00:00Z
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62H05
Mathematics Subject Classification ID: 62H20
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6984002
zbMATH Keywords: copula
zbMATH Keywords: \(R\)-vine
zbMATH Keywords: financial returns
zbMATH Keywords: Markov switching
MaRDI profile type: Publication
full work available at URL: j.csda.2013.04.002
OpenAlex ID: W2057373443
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DOI: 10.1016/J.CSDA.2013.04.002
description: scientific article; zbMATH DE number 6984002