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Change point analysis of second order characteristics in non-stationary time series
12 references·0 citing·42 second hop
Change point analysis of second order characteristics in non-stationary time series (2015)Change point analysis of second order cha…Detecting Relevant Changes in Time Series Models (2015)Detecting Relevant Changes in…Detection of Multiple Structural Breaks in Multivariate Time Series (2014)Detection of Multiple Structu…Detecting Gradual Changes in Locally Stationary Processes (2014)Detecting Gradual Changes in …Inference for single and multiple change‐points in time series (2013)Inference for single and mult…Structural breaks in time series (2012)Structural breaks in time ser…TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD (2011)TESTING FOR A CHANGE IN CORRE…Break detection in the covariance structure of multivariate time series models (2009)Break detection in the covari…Covariance changes detection in multivariate time series (2005)Covariance changes detection …Testing and Locating Variance Changepoints with Application to Stock Prices (1997)Testing and Locating Variance…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…CONTINUOUS INSPECTION SCHEMES (1954)CONTINUOUS INSPECTION SCHEMESAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A computationally efficient nonparametric approach for changepoint detection (2016)On optimal multiple changepoint algorithms for large data (2016)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Change Point Analysis of Correlation in Non-stationary Time Series (2017)A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters (2019)Detecting relevant changes in the mean of nonstationary processes—A mass excess approach (2019)Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time (1964)Journal of the American Statistical Association (1995)Change-Point Estimation in ARCH Models (2000)Analysis of changepoint models (2011)Nonparametric maximum likelihood approach to multiple change-point problems (2014)Time Series Analysis: Forecasting and Control (1977)A Guide to Simulation (1983)Volatility in Emerging Stock Markets (1999)Selection of estimation window in the presence of breaks (2006)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Optimal Detection of Changepoints With a Linear Computational Cost (2012)Computationally Efficient Changepoint Detection for a Range of Penalties (2015)Inference for Multiple Change Points in Time Series via Likelihood Ratio Scan Statistics (2015)Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence (1990)State-Space Models with Regime Switching (1999)Detection of Changes in Multivariate Time Series With Application to EEG Data (2014)Fossil fuels consumption and carbon dioxide emissions in G7 countries: Empirical evidence from ARDL bounds testing approach (2021)Is the correlation in international equity returns constant: 1960–1990? (1995)Long-Term Global Market Correlations (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance (2016)TESTING FOR CHANGES IN KENDALL’S TAU (2016)Inference About the Change-Point in a Sequence of Random Variables (1970)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Extensions of some classical methods in change point analysis (2014)Uniform change point tests in high dimension (2015)Procedures for Reacting to a Change in Distribution (1971)changepoint : An R Package for Changepoint Analysis (2014)Selective review of offline change point detection methods (2019)
this work references cited by second hop

References

  • 1954CONTINUOUS INSPECTION SCHEMES5,731 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 2012Structural breaks in time series444 cited
  • 1997Testing and Locating Variance Changepoints with Application to Stock Prices338 cited
  • 2009Break detection in the covariance structure of multivariate time series models313 cited
  • 2013Inference for single and multiple change‐points in time series148 cited
  • 2011TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD116 cited
  • 2014Detection of Multiple Structural Breaks in Multivariate Time Series107 cited
  • 2015Detecting Relevant Changes in Time Series Models63 cited
  • 2005Covariance changes detection in multivariate time series58 cited
  • 2014Detecting Gradual Changes in Locally Stationary Processes47 cited

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