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Multiple break detection in the correlation structure of random variables

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References

1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
2002Detecting multiple breaks in financial market volatility dynamics324 cited
2011TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD116 cited
2007Increasing correlations or just fat tails?95 cited
2008Correlation Risk87 cited

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2017Oil and stock markets before and after financial crises: A local Gaussian correlation approach70 cited
2015Nonparametric tests for constant tail dependence with an application to energy and finance33 cited
2013Testing for Structural Breaks in Correlations: Does it Improve Value-at-Risk Forecasting?24 cited
2021Change point analysis of covariance functions: A weighted cumulative sum approach19 cited
2016Dating multiple change points in the correlation matrix12 cited

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