Giacomini, Enzo; Härdle, Wolfgang; Ignatieva, Ekaterina; … - 2006
Measuring dependence in a multivariate time series is tantamount to modelling its dynamic structure in space and time …. In the context of a multivariate normally distributed time series, the evolution of the covariance (or correlation … from the multivariate normal. In risk management the non-normal behaviour of most financial time series calls for nonlinear …