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Detecting changes in cross-sectional dependence in multivariate time series

Bibliographic reference Bücher, Axel ; Kojadinovic, Ivan ; Rohmer, Tom ; Segers, Johan. Detecting changes in cross-sectional dependence in multivariate time series. In: Journal of Multivariate Analysis, Vol. 132, p. 111-128 (2014)
Permanent URL http://hdl.handle.net/2078.1/151300