Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market
动态高斯图模型的变点检测:新冠疫情期间美国股市的依赖变化
Reliable estimates of volatility and correlation are fundamental in economics and finance for understanding the impact of macroeconomics events on the market and guiding future investments and policies. Dependence across financial returns is likely to be subject to sudden structural changes, especially in correspondence with major global events, such as the COVID-19 pandemic. In this work, we are interested in capturing abrupt changes over time in the dependence across US…