Regime switches in the dependence structure of multidimensional financial data.

Jakob Stöber Claudia Czado

Published in: Comput. Stat. Data Anal. (2014)

Keyphrases

financial data
dependence structure
stock market
bankruptcy prediction
stock price
marginal distributions
credit card
higher order statistics
financial information
markov networks
random fields
fraud detection
stochastic systems
data sets
long term