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Journal of Business & Economic Statistics Volume 41, 2023 - Issue 3
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Articles

Detection of Multiple Structural Breaks in Large Covariance Matrices

Yu-Ning Lia School of Mathematical Sciences, Zhejiang University, Hangzhou, China;b Department of Economics and Related Studies, University of York, York, UKORCID Iconhttps://orcid.org/0000-0003-1473-0146View further author information
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Degui Lic Department of Mathematics, University of York, York, UKCorrespondence[email protected]
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Piotr Fryzlewiczd Department of Statistics, London School of Economics, London, UKView further author information
Pages 846-861 | Published online: 09 Jun 2022

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Haeran Cho, Hyeyoung Maeng, Idris A. Eckley & Paul Fearnhead. (2023) High-Dimensional Time Series Segmentation via Factor-Adjusted Vector Autoregressive Modeling. Journal of the American Statistical Association 0:0, pages 1-13.
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Articles from other publishers (1)

Yu-Ning Li, Jia Chen & Oliver Linton. (2023) Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model. Journal of Econometrics, pages 105382.
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