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Testing for Time‐varying Nonlinear Dependence Structures: Regime‐switching and Local Gaussian Correlation

Kristian Gundersen,Timothee Bacri,Jan Bulla,Sondre Holleland,Antonello Maruotti,Bard Stove

SCANDINAVIAN JOURNAL OF STATISTICS（2024）

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Key words
dependence,financial time series,hidden Markov models,local Gaussian correlation
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