Feng, Yuanhua; Hand, David; Feng, Yuanhua - Department Volkswirtschaftslehre, Fachbereich für … - 2012
A new multivariate random walk model with slowly changing drift and cross-correlations for multivariate processes is introduced and investigated in detail. In the model, not only the drifts and the cross-covariances but also the cross-correlations between single series are allowed to change...