Francesco Bartolucci

1 INTRODUCTION Financial analysis and risk management research shows that the dependence structure of financial time-series changes during crises, with interdependence among assets increasing compared with stable periods (Das & Uppal, 2004; Patton, 2004).

Fulvia Pennoni [1] ; Leonard J. Paas [2] ; Francesco Bartolucci [3] [1] University of Milano-Bicocca [2] University of Auckland [3] University of Perugia Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN 1133-0686, ISSN-e 1863-8260, Vol. 32, Nº. 4, 2023, págs.

Data description The data come from biochemical measurements collected prospectively by the Mayo Clinic from January 1974 to May 1984 (Murtaugh et al., 1994). They are collected through a randomized control trial referred to the PBC, which is a liver disease implying inflammatory destruction of the bile ducts and eventually leads to cirrhosis of the liver (Dickson et al., 1989). It is a chronic disease of unknown causes with a prevalence of about 50-cases-per-million population.