Sign-based tests for structural changes in multivariate volatility
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Cites work
- scientific article; zbMATH DE number 1911817 (Why is no real title available?)
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- Testing for structural change under non-stationary variances
- Time-varying minimum variance portfolio
- Unit root tests with a break in innovation variance.
- Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
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