Detecting structural breaks in multivariate financial time series: evidence from hedge fund investment strategies
DOI10.1080/00949655.2012.740671zbMATH Open1453.62708OpenAlexW3124184874MaRDI QIDQ5219968FDOQ5219968
Authors: Loukia Meligkotsidou, I. D. Vrontos 
Publication date: 9 March 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2012.740671
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Bayesian inference (62F15) 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)
Cites Work
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- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Estimating and Testing Linear Models with Multiple Structural Changes
- Multivariate Bayesian Variable Selection and Prediction
- The Cusum Test with Ols Residuals
- Testing For and Dating Common Breaks in Multivariate Time Series
- Exact Filtering for Partially Observed Continuous Time Models
- MOSUM tests for parameter constancy
- Sparse seemingly unrelated regression modelling: applications in finance and econometrics
- Estimating and Testing Structural Changes in Multivariate Regressions
- Estimating restricted structural change models
- Bayesian stochastic search for VAR model restrictions
- Bayesian Methods for Hidden Markov Models
- Exact Bayesian curve fitting and signal segmentation
Cited In (6)
- Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
- Portfolio selection between a mature market and selected emerging markets indices in the presence of structural breaks
- Time Variation in Mutual Fund Style Exposures*
- Variable selection in quantile regression via Gibbs sampling
- Structural break detection in financial durations
- Evidence for hedge fund predictability from a multivariate Student's \(t\) full-factor GARCH model
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