scientific article; zbMATH DE number 2042817
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Publication:4450672
zbMath1034.62104MaRDI QIDQ4450672
Publication date: 15 February 2004
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
tablesleast squareshigh-frequency financial datamultivariate GARCH modelsconditional covariancechange-point testsCUSUM type tests
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)
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SCOMDY models based on pair-copula constructions with application to exchange rates ⋮ Monitoring disruptions in financial markets ⋮ Cusums for tracking arbitrary functionals ⋮ A GENERAL CLASS OF CUSUM STATISTICS ⋮ Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach ⋮ Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models ⋮ Testing for parameter constancy in GARCH\((p,q)\) models ⋮ Break detection in the covariance structure of multivariate time series models ⋮ Robust parametric tests of constant conditional correlation in a MGARCH model
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