Structural Breaks in Financial Time Series

DOI10.1007/978-3-540-71297-8_37MaRDI QIDQ3646984zbMATH OpenOpenAlexFDO

Authors Elena Andreou, Eric Ghysels

Publication date 27 November 2009

Published in Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-71297-8_37

zbMATH Keywords

change-point testempirical volatilityfinancial time seriesfunctional central limit theorem (FCLT)GARCHgeometric volatilityIGARCHlong memorystructural break

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Statistical methods; risk measures (91G70)

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Cited in

(35)

• The impact of structural breaks on the integration of the ASEAN-5 stock markets
• Structural change test in duration of bull and bear markets
• Monitoring the intraday volatility pattern
• A tail adaptive approach for change point detection
• Characteristics, covariances, and structural breaks
• Change points detection and parameter estimation for multivariate time series
• Multiple change point detection and validation in autoregressive time series data
• A test for second-order stationarity of a time series based on the maximum of Anderson-Darling statistics
• On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
• Structural change tests in tail behaviour and the Asian crisis
• Structural breaks in time series
• Testing for a change of the innovation distribution in nonparametric autoregression: the sequential empirical process approach
• Nonparametric simultaneous testing for structural breaks
• Testing for parameter stability in nonlinear autoregressive models
• Asymmetric volatility models with structural breaks
• Analysis of structural break models based on the evolutionary spectrum: Monte Carlo study and application
• scientific article; zbMATH DE number 7218949 (Why is no real title available?)
• Investigation of structural changes of continuous-time asset return models
• scientific article; zbMATH DE number 2042817 (Why is no real title available?)
• scientific article; zbMATH DE number 2072568 (Why is no real title available?)
• Change point analysis for successive rises and falls of returns based on Schwarz information criterion
• Structural break detection in financial durations
• Forecasting with GARCH models under structural breaks: An approach based on combinations across estimation windows
• Change points in heavy‐tailed multivariate time series: Methods using precision matrices
• Detecting structural breaks in multivariate financial time series: evidence from hedge fund investment strategies
• Segmenting mean-nonstationary time series via trending regressions
• Time Variation in Mutual Fund Style Exposures*
• Some nonparametric tests for change-point detection based on the \(\mathbb{P}\)-\(\mathbb{P}\) and \(\mathbb{Q}\)-\(\mathbb{Q}\) plot processes
• Structural breaks in panel data: large number of panels and short length time series
• Detection of multiple change-points in high-dimensional panel data with cross-sectional and temporal dependence
• Gaussian approximation for nonstationary time series with optimal rate and explicit construction
• Subsampling ratio tests for structural changes in time series with heavy-tailed AR( p ) errors
• Variable Selection Based Testing for Parameter Changes in Regression with Autoregressive Dependence
• Change-point analysis for matrix data: the empirical Hankel transform approach
• Robust estimation of Markov-switching GARCH models

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