Alexis DERUMIGNY (Delft University of Technology) “Fast estimation of Kendall’s Tau and conditional Kendall’s Tau matrices under structural assumptions”
Finance & Financial Econometrics : Time: 11.00 am Date: 11th of January 2023 Room 3001 Alexis DERUMIGNY (Delft University of Technology) "Fast estimation of Kendall's Tau and conditional Kendall's Tau matrices under structural assumptions" Abstract : Kendall's tau and conditional Kendall's tau matrices are multivariate (conditional) dependence measures between the components of a random vector. […]