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Break detection in the covariance structure of multivariate time series models
12 references·16 citing·27 second hop
Break detection in the covariance structure of multivariate time series models (2009)Break detection in the covariance structu…Inference in Arch and Garch Models with Heavy-Tailed Errors (2003)Inference in Arch and Garch M…GARCH processes: structure and estimation (2003)GARCH processes: structure an…MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS (2002)MIXING AND MOMENT PROPERTIES …Detecting multiple breaks in financial market volatility dynamics (2002)Detecting multiple breaks in …STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS (1998)STRONG CONSISTENCY OF ESTIMAT…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Stationarity of Garch processes and of some nonnegative time series (1992)Stationarity of Garch process…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Data segmentation algorithms: Univariate mean change and beyond (2021)Data segmentation algorithms:…Univariate mean change point detection: Penalization, CUSUM and optimality (2020)Univariate mean change point …A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters (2019)A Likelihood Ratio Approach t…Detecting correlation changes in multivariate time series: A comparison of four non-parametric change point detection methods (2016)Detecting correlation changes…Change Point Detection in Correlation Networks (2016)Change Point Detection in Cor…Uniform change point tests in high dimension (2015)Uniform change point tests in…Detecting Relevant Changes in Time Series Models (2015)Detecting Relevant Changes in…Detecting gradual changes in locally stationary processes (2015)Detecting gradual changes in …Functional Dynamic Factor Model for Intraday Price Curves (2014)Functional Dynamic Factor Mod…Extensions of some classical methods in change point analysis (2014)Extensions of some classical …Detection of Multiple Structural Breaks in Multivariate Time Series (2014)Detection of Multiple Structu…Detection of Changes in Multivariate Time Series With Application to EEG Data (2014)Detection of Changes in Multi…Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data (2012)Non‐Parametric Change‐Point T…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…SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS (2011)SEQUENTIAL TESTING FOR THE ST…QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS (2011)QML ESTIMATION OF A CLASS OF …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach (2006)Modelling Nonlinear Economic Time Series (2010)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Parametric and Nonparametric Volatility Measurement (2010)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)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)Multivariate Simultaneous Generalized ARCH (1995)On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness (2011)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Econometric Analysis of Cross Section and Panel Data (2001)Estimation of multivariate models for time series of possibly different lengths (2006)Copula–Based Models for Financial Time Series (2009)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 1992Stationarity of Garch processes and of some nonnegative time series567 cited
  • 2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS566 cited
  • 2003GARCH processes: structure and estimation482 cited
  • 1998STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS445 cited
  • 2003Inference in Arch and Garch Models with Heavy-Tailed Errors362 cited
  • 2002Detecting multiple breaks in financial market volatility dynamics324 cited

Cited by

  • 2015Uniform change point tests in high dimension132 cited
  • 2014Extensions of some classical methods in change point analysis127 cited
  • 2011

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TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD
116 cited
  • 2014Detection of Multiple Structural Breaks in Multivariate Time Series107 cited
  • 2014Detection of Changes in Multivariate Time Series With Application to EEG Data90 cited
  • 2020Univariate mean change point detection: Penalization, CUSUM and optimality83 cited
  • 2012Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data82 cited
  • 2016Change Point Detection in Correlation Networks82 cited
  • 2011QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS72 cited
  • 2015Detecting Relevant Changes in Time Series Models63 cited
  • 2011SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS59 cited
  • 2019A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters58 cited
  • 2021Data segmentation algorithms: Univariate mean change and beyond52 cited
  • 2014Functional Dynamic Factor Model for Intraday Price Curves50 cited
  • 2016Detecting correlation changes in multivariate time series: A comparison of four non-parametric change point detection methods49 cited
  • 2015Detecting gradual changes in locally stationary processes48 cited