Monitoring disruptions in financial markets

DOI10.1016/j.jeconom.2005.07.023zbMath1418.62372OpenAlexW3121958373MaRDI QIDQ291846

Elena Andreou, Eric Ghysels

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://depot.erudit.org/id/000882dd

zbMATH Keywords

Brownian bridgeCUSUMboundary crossingGARCHhigh-frequency dataquadratic variationstructural changepower variationlocal powersequential tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (29)

Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models ⋮ Quality control for structural credit risk models ⋮ Delay times of sequential procedures for multiple time series regression models ⋮ Monitoring parameter change in linear regression model based on the efficient score vector ⋮ Sequential testing with uniformly distributed size ⋮ MOSUM monitoring for variance change in nonparametric regression models ⋮ ON-LINE MONITORING OF POLLUTION CONCENTRATIONS WITH AUTOREGRESSIVE MOVING AVERAGE TIME SERIES ⋮ Modified procedures for change point monitoring in linear models ⋮ A new fluctuation test for constant variances with applications to finance ⋮ Sequential testing for structural stability in approximate factor models ⋮ Bootstrapping sequential change-point tests for linear regression ⋮ Bayesian modelling of time-varying conditional heteroscedasticity ⋮ Monitoring changes in the error distribution of autoregressive models based on Fourier methods ⋮ On the Performance of the Fluctuation Test for Structural Change ⋮ On the reaction time of moving sum detectors ⋮ Monitoring distributional changes of squared residuals in GARCH models ⋮ An ANOVA-type test for multiple change points ⋮ Monitoring Variance Change in Infinite Order Moving Average Processes and Nonstationary Autoregressive Processes ⋮ Monitoring multivariate time series ⋮ Modified sequential change point procedures based on estimating functions ⋮ Sequential monitoring of portfolio betas ⋮ Monitoring parameter changes for random coefficient autoregressive models ⋮ Monitoring parameter changes in RCA(\(p\)) models ⋮ Sequential Monitoring Variance Changes in Location Model ⋮ Sequential Monitoring for Changes in Models with a Polynomial Trend ⋮ Change points in heavy‐tailed multivariate time series: Methods using precision matrices ⋮ On the use of estimating functions in monitoring time series for change points ⋮ Reaction times of monitoring schemes for ARMA time series ⋮ Simultaneous inference for time-varying models

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