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06/27/2023
Testing for asymmetric dependency structures in financial markets: regime-switching and local Gaussian correlation
This paper examines asymmetric and time-varying dependency structures be...
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02/21/2023
Computational issues in parameter estimation for hidden Markov models with Template Model Builder
A popular way to estimate the parameters of a hidden Markov model (HMM) ...
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06/03/2021
Portfolio Allocation under Asymmetric Dependence in Asset Returns using Local Gaussian Correlations
It is well known that there are asymmetric dependence structures between...
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09/27/2018
Statistical dependence: Beyond Pearson's ρ
Pearson's ρ is the most used measure of statistical dependence. It gives...
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04/24/2018
