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Multiscale local change point detection with applications to value-at-risk

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Cited by

2009Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models45 cited
2014Local Adaptive Multiplicative Error Models for High-Frequency Forecasts43 cited
2019Detecting relevant changes in the mean of nonstationary processes—A mass excess approach35 cited

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2012Adaptive estimation of vector autoregressive models with time-varying variance: Application to testing linear causality in mean35 cited

2012Managing Risk with a Realized Copula Parameter27 cited

2017Nonparametric change-point analysis of volatility22 cited

2014Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance21 cited

2020Change-point methods for multivariate time-series: paired vectorial observations15 cited

2017Inference for a change-point problem under a generalised Ornstein–Uhlenbeck setting12 cited

2024A self-supervised contrastive change point detection method for industrial time series11 cited

2017Inference for a mean-reverting stochastic process with multiple change points8 cited

2021Bivariate change point detection: Joint detection of changes in expectation and variance7 cited