4 citations · 6 across the 3 of their papers we have counts for
3 papers
stat.ME2023
Testing for asymmetric dependency structures in financial markets: regime-switching and local Gaussian correlation
Kristian Gundersen, Timothée Bacri, Jan Bulla +2
This paper examines asymmetric and time-varying dependency structures between financial returns, using a novel approach consisting of a combination of regime-switching models and t…
math.ST2018★ 4 cited
Statistical dependence: Beyond Pearson's
Dag Tjøstheim, Håkon Otneim, Bård Støve
Pearson's is the most used measure of statistical dependence. It gives a complete characterization of dependence in the Gaussian case, and it also works well in some non-Gaussi…
stat.ME2018★ 2 cited
Modelling corporate defaults: A Markov-switching Poisson log-linear autoregressive model
Geir D. Berentsen, Jan Bulla, Antonello Maruotti +1
This article extends the autoregressive count time series model class by allowing for a model with regimes, that is, some of the parameters in the model depend on the state of an u…