Sequential detection of parameter changes in dynamic conditional correlation models

DOI10.1002/ASMB.2578MaRDI QIDQ6579557zbMATH OpenFDO

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)

Full work available at URL https://doi.org/10.1002/ASMB.2578

zbMATH Keywords

threshold functiononline detectionparameter changesdynamic conditional correlation modelmultivariate sequences

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• On the stationarity of dynamic conditional correlation models
• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS

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