SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS (Q2909249): Difference between revisions

@@ Property / author @@
-Josef G. Steinebach
@@ Property / author: Josef G. Steinebach / rank @@
-Normal rank
@@ Property / author @@
+Josef G. Steinebach
@@ Property / author: Josef G. Steinebach / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Monitoring shifts in mean: asymptotic normality of stopping times
+Normal rank
@@ Property / cites work @@
+Change‐point monitoring in linear models
@@ Property / cites work: Change‐point monitoring in linear models / rank @@
+Normal rank
@@ Property / cites work @@
+Microstructure noise in the continuous case: the pre-averaging approach
+Normal rank
@@ Property / cites work @@
+Delay time in sequential detection of change
@@ Property / cites work: Delay time in sequential detection of change / rank @@
+Normal rank
@@ Property / cites work @@
+Some Limit Theorems for Stationary Processes
@@ Property / cites work: Some Limit Theorems for Stationary Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Break detection in the covariance structure of multivariate time series models
+Normal rank
@@ Property / cites work @@
+On the detection of changes in autoregressive time series. I: Asymptotics.
+Normal rank
@@ Property / cites work @@
+An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
+Normal rank
@@ Property / cites work @@
+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
+Normal rank
@@ Property / cites work @@
+Realized Beta: Persistence and Predictability
@@ Property / cites work: Realized Beta: Persistence and Predictability / rank @@
+Normal rank
@@ Property / cites work @@
+On asymptotic theory for multivariate GARCH models
+Normal rank
@@ Property / cites work @@
+ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
@@ Property / cites work: ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank
@@ Property / cites work @@
+Strong invariance principles for dependent random variables
+Normal rank
@@ Property / cites work @@
+Nonlinear system theory: Another look at dependence
+Normal rank
@@ Property / cites work @@
+The Econometrics of Ultra-high-frequency Data
@@ Property / cites work: The Econometrics of Ultra-high-frequency Data / rank @@
+Normal rank
@@ Property / cites work @@
+Monitoring Structural Change
@@ Property / cites work: Monitoring Structural Change / rank @@
+Normal rank
@@ Property / cites work @@
+AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION
+Normal rank
@@ Property / cites work @@
+Linear processes in function spaces. Theory and applications
+Normal rank
@@ Property / cites work @@
+Limit theorems for iterated random functions
@@ Property / cites work: Limit theorems for iterated random functions / rank @@
+Normal rank
@@ Property / cites work @@
+SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
+Normal rank
@@ Property / cites work @@
+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
+Normal rank
@@ Property / cites work @@
+Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
+Normal rank
@@ Property / cites work @@
+An Intertemporal Capital Asset Pricing Model
@@ Property / cites work: An Intertemporal Capital Asset Pricing Model / rank @@
+Normal rank
@@ Property / cites work @@
+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
+Normal rank
@@ Property / cites work @@
+ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES
@@ Property / cites work: ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES / rank @@
+Normal rank
@@ Property / cites work @@
+Delay times of sequential procedures for multiple time series regression models
+Normal rank