Sequential detection of parameter changes in dynamic conditional correlation models
From MaRDI portal
Publication:6579557
DOI10.1002/ASMB.2578MaRDI QIDQ6579557FDOQ6579557
Authors: Katharina Pape, Pedro Galeano, Dominik Wied 
Publication date: 25 July 2024
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
threshold functiononline detectionparameter changesdynamic conditional correlation modelmultivariate sequences
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- Break detection in the covariance structure of multivariate time series models
- Title not available (Why is that?)
- Monitoring Structural Change
- Title not available (Why is that?)
- Estimating multivariate volatility models equation by equation
- GARCH processes: structure and estimation
- Monitoring changes in linear models
- Neglecting parameter changes in GARCH models
- Monitoring correlation change in a sequence of random variables
- A new fluctuation test for constant variances with applications to finance
- Multiple break detection in the correlation structure of random variables
- Title not available (Why is that?)
- A general multivariate threshold GARCH model with dynamic conditional correlations
- On the stationarity of dynamic conditional correlation models
This page was built for publication: Sequential detection of parameter changes in dynamic conditional correlation models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6579557)
