Copula based Change Point Detection for Financial Contagion in Chinese Banking.
Xiaoqian ZhuYilin LiChangzhi LiangJianming ChenDengsheng WuPublished in: ITQM (2013)
Keyphrases
- change point detection
- change point
- financial services
- financial institutions
- financial markets
- banking industry
- non stationary
- listed companies
- outlier detection
- risk management
- sequential data
- singular spectrum analysis
- normalized maximum likelihood
- high dimensional time series
- stock price
- fraud detection
- commercial banks
- semi parametric
- hidden markov models
- financial data
- credit risk
- banking services
- return on investment
- neural network
- similarity measure
- image processing
- machine learning