scientific article; zbMATH DE number 2042817
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Publication:4450672
Recommendations
- Break detection in the covariance structure of multivariate time series models
- Structural Breaks in Financial Time Series
- Modeling covariance breakdowns in multivariate GARCH
- Testing for structural breaks in factor copula models
- Testing for volatility co-movement in bivariate stochastic volatility models
Cited in
(15)- Cobra: a package for co-breaking analysis
- Break detection in the covariance structure of multivariate time series models
- SCOMDY models based on pair-copula constructions with application to exchange rates
- Testing for parameter constancy in GARCH(p,q) models
- Modeling covariance breakdowns in multivariate GARCH
- Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models
- Monitoring disruptions in financial markets
- Structural Breaks in Financial Time Series
- Testing for volatility co-movement in bivariate stochastic volatility models
- A general class of CUSUM statistics
- Time Variation in Mutual Fund Style Exposures*
- Robust parametric tests of constant conditional correlation in a MGARCH model
- Cusums for tracking arbitrary functionals
- Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
- Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models
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