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Jump-Preserving Monitoring of Depending Time Series Using Pilot Estimators
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Jump-Preserving Monitoring of Depending Time Series Using Pilot Estimators (2004)Jump-Preserving Monitoring of Depending T…On detecting jumps in time series: nonparametric setting (2004)On detecting jumps in time se…Regular variation of GARCH processes (2002)Regular variation of GARCH pr…MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS (2002)MIXING AND MOMENT PROPERTIES …ASN-minimax double sampling plans for variables (2002)ASN-minimax double sampling p…Sequential control of non-stationary processes by nonparametric kernel control charts (2000)Sequential control of non-sta…Trend Function Hypothesis Testing in the Presence of Serial Correlation (1998)Trend Function Hypothesis Tes…Tests for Change in a Mean Function when the Data are Dependent (1998)Tests for Change in a Mean Fu…Optimal changepoint tests for normal linear regression (1996)Optimal changepoint tests for…Nonparametric Tests for Nonstandard Change-Point Problems (1995)Nonparametric Tests for Nonst…Nonparametric detection of changepoints for sequentially observed data (1994)Nonparametric detection of ch…Change-point estimators in case of small disorders (1994)Change-point estimators in ca…An Extension of the Csörgő-Horváth Functional Limit Theorem and Its Applications to Changepoint Problems (1994)An Extension of the Csörgő-Ho…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Nonparametric Methods in Change-Point Problems (1993)Nonparametric Methods in Chan…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Nonparametric Sequential Monitoring (2012)Nonparametric Sequential Moni…Optimal Inference in Cointegrated Systems (1991)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Testing For and Dating Common Breaks in Multivariate Time Series (1998)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Selection of estimation window in the presence of breaks (2006)Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time (1964)Inference About the Change-Point in a Sequence of Random Variables (1970)A Non-Parametric Approach to the Change-Point Problem (1979)Approximations for the time of change and the power function in change-point models (1996)U-Statistics for Change under Alternatives (2001)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)CONTINUOUS INSPECTION SCHEMES (1954)Control Chart Tests Based on Geometric Moving Averages (1959)Optimal Stopping Times for Detecting Changes in Distributions (1986)MONITORING PROCEDURES TO DETECT UNIT ROOTS AND STATIONARITY (2007)Nonparametric Sequential Change-Point Detection by a Vertically Trimmed Box Method (2010)Nonparametric Sequential Signal Change Detection Under Dependent Noise (2013)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Estimation of multivariate models for time series of possibly different lengths (2006)Copula–Based Models for Financial Time Series (2009)Modelling Nonlinear Economic Time Series (2010)Extreme Values, Regular Variation and Point Processes (1987)Modelling of extremal events in insurance and finance (1994)Copulas: Tales and facts (2006)Statistical inference for time-varying ARCH processes (2006)The extremogram: A correlogram for extreme events (2009)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Testing for a Unit Root in a Time Series With a Changing Mean (1990)Investigating the Behavior of Idiosyncratic Volatility* (2003)Testing for Shifts in Trend With an Integrated or Stationary Noise Component (2009)The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes? (2009)Structural breaks in time series (2012)Change-point detection in time-series data by relative density-ratio estimation (2013)Multiscale Change Point Inference (2014)
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References

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  • 1998Tests for Change in a Mean Function when the Data are Dependent

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15 cited
  • 1994Nonparametric detection of changepoints for sequentially observed data13 cited
  • Cited by

    • 2012Nonparametric Sequential Monitoring9 cited