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Multiple break detection in the correlation structure of random variables · Study

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ArticleMultiple break detection in the correlation structure of random variables

Pedro Galeano2013

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Articlegreen2013

Multiple break detection in the correlation structure of random variables

Pedro Galeano · Dominik Wied

44 citations·0/0 files stored·Computational Statistics & Data Analysis

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Financial Risk and Volatility Modeling Statistical Methods and Inference Advanced Statistical Process Monitoring

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References

1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1995Is the correlation in international equity returns constant: 1960–1990?2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance 2002Detecting multiple breaks in financial market volatility dynamics 2011TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD 2007Increasing correlations or just fat tails?2008Correlation Risk

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2017Oil and stock markets before and after financial crises: A local Gaussian correlation approach 2015Nonparametric tests for constant tail dependence with an application to energy and finance 2021Change point analysis of covariance functions: A weighted cumulative sum approach 2016Dating multiple change points in the correlation matrix

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2009Structural Breaks in Financial Time Serieschapter · 4 shared references 2016Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Financearticle · 4 shared references 2011A new fluctuation test for constant variances with applications to financearticle · 4 shared references 2012Monitoring correlation change in a sequence of random variablesarticle · 4 shared references 2012A Survey on Time-Varying Copulas: Specification, Simulations, and Applicationarticle · 3 shared references 2014Extensions of some classical methods in change point analysisarticle · 3 shared references

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Year2013

Typearticle

Published2013-03-05

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations44

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.csda.2013.02.031

openalex_workW2008206871

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