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Tracking change-points in multivariate extremes

11/10/2020

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by Miguel de Carvalho, et al.

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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.

Miguel de Carvalho
11 publications
Manuele Leonelli
23 publications
Alex Rossi
2 publications

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