Tracking change-points in multivariate extremes
Methodology
2020-11-11 v1 Statistical Finance
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.
Cite
@article{arxiv.2011.05067,
title = {Tracking change-points in multivariate extremes},
author = {Miguel de Carvalho and Manuele Leonelli and Alex Rossi},
journal= {arXiv preprint arXiv:2011.05067},
year = {2020}
}