Tracking change-points in multivariate extremes

Miguel de Carvalho, Manuele Leonelli and Alex Rossi

Papers from arXiv.org

Abstract: In this paper we devise a statistical method for tracking and modeling change-points on the dependence structure of multivariate extremes. The methods are motivated by and illustrated on a case study on crypto-assets.

Date: 2020-11
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2011.05067

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