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Journal of Business & Economic Statistics Volume 38, 2020 - Issue 2
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Original Articles

Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models

Marco BarassiDepartment of Economics, University of Birmingham, BirminghamB15 2TT, United Kingdom ([email protected])
,
Lajos HorváthDepartment of Mathematics, University of Utah, Salt Lake City, UT84112-0090 ([email protected])
&
Yuqian ZhaoDepartment of Statistics and Actuarial Science, University of Waterloo, ONN2L 3G1, Canada ([email protected])
Pages 340-349 | Received 01 Apr 2017, Published online: 16 Oct 2018

Citations (6)

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Read on this site (1)

Marvin Borsch, Alexander Mayer & Dominik Wied. (2023) Consistent Estimation of Multiple Breakpoints in Dependence Measures. Journal of Business & Economic Statistics 0:0, pages 1-12.
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Articles from other publishers (5)

Hemei Li, Zhenya Liu & Zhijie Xiao. (2024) Sequential monitoring of stock market price changes. International Review of Economics & Finance 89, pages 156-172.
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Emese Lazar, Shixuan Wang & Xiaohan Xue. (2023) Loss function-based change point detection in risk measures. European Journal of Operational Research 310:1, pages 415-431.
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Haeran Cho & Karolos K. Korkas. (2022) High-dimensional GARCH process segmentation with an application to Value-at-Risk. Econometrics and Statistics 23, pages 187-203.
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Sangyeol Lee, Simos G. Meintanis & Charl Pretorius. (2022) Monitoring procedures for strict stationarity based on the multivariate characteristic function. Journal of Multivariate Analysis 189, pages 104892.
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Sangyeol Lee & Byungsoo Kim. (2021) Recent progress in parameter change test for integer-valued time series models. Journal of the Korean Statistical Society 50:3, pages 730-755.
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