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Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models

  • Published:2018-10-16 Issue:2 Volume:38 Page:340-349
  • ISSN:0735-0015
  • Container-title:Journal of Business & Economic Statistics
  • language:en
  • Short-container-title:Journal of Business & Economic Statistics

Author:

Barassi Marco1,Horváth Lajos2,Zhao Yuqian3

Affiliation:

1. Department of Economics, University of Birmingham, Birmingham B15 2TT, United Kingdom ()

2. Department of Mathematics, University of Utah, Salt Lake City, UT 84112-0090 ()

3. Department of Statistics and Actuarial Science, University of Waterloo, ON N2L 3G1, Canada ()

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Cited by 9 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Sequential monitoring of stock market price changes;International Review of Economics & Finance;2024-01

2. Parameter Changes in Time Series Models;Springer Series in Statistics;2023-12-11

3. Loss function-based change point detection in risk measures;European Journal of Operational Research;2023-10

4. Consistent Estimation of Multiple Breakpoints in Dependence Measures;Journal of Business & Economic Statistics;2023-07-12

5. Real-time changepoint detection in a nonlinear expectile model;Metrika;2023-03-30
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