Break detection in the covariance structure of multivariate time series models (Q1043722)
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scientific article; zbMATH DE number 5644265
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| English | Break detection in the covariance structure of multivariate time series models |
scientific article; zbMATH DE number 5644265 |
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Break detection in the covariance structure of multivariate time series models (English)
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9 December 2009
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change-points
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covariance
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functional central limit theorem
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multivariate GARCH models
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multivariate time series
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structural breaks
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0.91003954
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0.9031476
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0.8991854
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0.89898545
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0.8948039
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0.89369714
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0.88790405
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0.8828512
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