Change-point analysis in financial networks

DOI10.1002/STA4.269MaRDI QIDQ6541554FDOQ6541554

Authors: Sayantan Banerjee, Kousik Guhathakurta 

Publication date: 19 May 2024

Published in: Stat (Search for Journal in Brave)

zbMATH Keywords

change-point analysisGaussian kernelfinancial networksstock market dynamics

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Sieve bootstrap for time series
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• Bootstrap prediction for returns and volatilities in GARCH models
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• Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes
• Dynamic asset trees and Black Monday
• Obtaining prediction intervals for FARIMA processes using the sieve bootstrap
• Bayesian inference in nonparanormal graphical models
• Estimating networks with jumps
• Spectral clustering via sparse graph structure learning with application to proteomic signaling networks in cancer
• Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes

Cited In (1)

• Determining the number of change-point via high-dimensional cross-validation

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