Characteristics, covariances, and structural breaks

DOI10.1016/J.ECONLET.2007.10.025MaRDI QIDQ1934831zbMATH OpenOpenAlexFDO

Authors Pin-Huang Chou, Kuan-Cheng Ko

Publication date 29 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2007.10.025

zbMATH Keywords

characteristics modelfactor modelstructural break

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• Testing for structural breaks in dynamic factor models
• Detecting big structural breaks in large factor models
• Structural breaks in panel data: large number of panels and short length time series
• Testing for structural breaks in factor copula models
• Structural Breaks in Financial Time Series

Cites work

• An Intertemporal Capital Asset Pricing Model
• Common risk factors in the returns on stocks and bonds
• Estimating and Testing Linear Models with Multiple Structural Changes

This page was built for publication: Characteristics, covariances, and structural breaks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1934831)