TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD

DOI10.1017/S0266466611000661zbMath1239.91187MaRDI QIDQ2890704

Dominik Wied, Walter Kramer, Herold G. Dehling

Publication date: 11 June 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466611000661

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G70: Statistical methods; risk measures

91B84: Economic time series analysis

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Cites Work

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