Break detection in the covariance structure of multivariate time series models (Q1043722): Difference between revisions

From MaRDI portal
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 0911.3796 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4450672 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non-strong mixing autoregressive processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong approximation for the sums of squares of augmented GARCH sequences / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating and Testing Linear Models with Multiple Structural Changes / rank
 
Normal rank
Property / cites work
 
Property / cites work: The functional central limit theorem for a family of GARCH observations with applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: GARCH processes: structure and estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5560061 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractionally integrated generalized autoregressive conditional heteroskedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strict stationarity of generalized autoregressive processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stationarity of GARCH processes and of some nonnegative time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: The stochastic equation <i>Y<sub>n</sub></i><sub>+1</sub>=<i>A<sub>n</sub>Y<sub>n</sub> + B<sub>n</sub></i> with stationary coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time series: theory and methods. / rank
 
Normal rank
Property / cites work
 
Property / cites work: MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4348180 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Limit Theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Break Detection for a Class of Nonlinear Time Series Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: The sample autocorrelations of heavy-tailed processes with applications to ARCH / rank
 
Normal rank
Property / cites work
 
Property / cites work: A new weak dependence condition and applications to moment inequalities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5827353 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4892799 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inference in Arch and Garch Models with Heavy-Tailed Errors / rank
 
Normal rank
Property / cites work
 
Property / cites work: FOURTH MOMENT STRUCTURE OF THE GARCH(<i>p</i>,<i>q</i>) PROCESS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Augmented GARCH sequences: Dependence structure and asymptotics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4040931 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some Limit Theorems for Stationary Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Matrix exponential GARCH / rank
 
Normal rank
Property / cites work
 
Property / cites work: K-Sample Analogues of the Kolmogorov-Smirnov and Cramer-V. Mises Tests / rank
 
Normal rank
Property / cites work
 
Property / cites work: Change-point estimation in ARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4821817 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional Heteroskedasticity in Asset Returns: A New Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4327561 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4255425 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate GARCH Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analysis of Financial Time Series / rank
 
Normal rank
Property / cites work
 
Property / cites work: A full-factor multivariate GARCH model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonlinear system theory: Another look at dependence / rank
 
Normal rank

Latest revision as of 07:17, 2 July 2024

scientific article
Language Label Description Also known as
English
Break detection in the covariance structure of multivariate time series models
scientific article

    Statements

    Break detection in the covariance structure of multivariate time series models (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    9 December 2009
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    change-points
    0 references
    covariance
    0 references
    functional central limit theorem
    0 references
    multivariate GARCH models
    0 references
    multivariate time series
    0 references
    structural breaks
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references