SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Ratio test to detect change in the variance of linear process
12 references·0 citing·37 second hop
Ratio test to detect change in the variance of linear process (2010)Ratio test to detect change in the varian…Testing for changes in the covariance structure of linear processes (2008)Testing for changes in the co…Ratio tests for change point detection (2008)Ratio tests for change point …Change detection in autoregressive time series (2007)Change detection in autoregre…Change-of-variance problem for linear processes with long memory (2006)Change-of-variance problem fo…Corrigendum to “Detection of change in persistence of a linear time series” [J. Econom. 95 (2000) 97–116] (2002)Corrigendum to “Detection of …WITHDRAWN: Corrigendum to “Detection of change in persistence of a linear time series”: [J. Econom. 95 (2000) 97–116] (2001)WITHDRAWN: Corrigendum to “De…Detection of change in persistence of a linear time series (2000)Detection of change in persis…ESTIMATORS AND TESTS FOR CHANGE IN VARIANCES (1996)ESTIMATORS AND TESTS FOR CHAN…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Inferences about the parameters of a time series model with changing variance (1984)Inferences about the paramete…On the Stable Paretian Behavior of Stock-Market Prices (1974)On the Stable Paretian Behavi…Long-term Memory in Stock Market Prices (1989)Long-Term Memory in Stock Market Prices (1991)Limit theorems in change-point analysis (1997)Ratio test for variance change point in linear process with long memory (2009)Nuisance-parameter-free changepoint detection in non-stationary series (2019)Changepoint in dependent and non-stationary panels (2020)The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)The Distribution of Stock Returns: New Evidence Against the Stable Model (1990)Maximum likelihood estimation of a GARCH‐stable model (1995)Estimating the Density Tail Index for Financial Time Series (1997)The variation of certain speculative prices (1997)A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)Dealing with Structural Breaks (2005)Mean shift testing in correlated data (2011)Detecting Relevant Changes in Time Series Models (2015)Multiple change-point detection for non-stationary time series using Wild Binary Segmentation (2017)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Unit Root Tests under Time-Varying Variances (2005)Asset Price Bubbles and Systemic Risk (2020)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)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing and estimating change-points in time series (1985)Monitoring parameter change in AR ( p ) time series models (2008)Off-Line Statistical Process Control (2002)Detecting the presence of insider trading via structural break tests (2011)Testing for a break in persistence under long‐range dependencies (2009)Testing for persistence change in fractionally integrated models: An application to world inflation rates (2012)Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun (2015)A GUIDE TO WAVELETS FOR ECONOMISTS* (2007)Structural breaks in time series (2012)
this work references cited by second hop

References

  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance399 cited
  • 1974On the Stable Paretian Behavior of Stock-Market Prices230 cited
  • 2000Detection of change in persistence of a linear time series225 cited
  • 2007Change detection in autoregressive time series112 cited
  • 2008Testing for changes in the covariance structure of linear processes75 cited
  • 2002Corrigendum to “Detection of change in persistence of a linear time series” [J. Econom. 95 (2000) 97–116]65 cited
  • 1996ESTIMATORS AND TESTS FOR CHANGE IN VARIANCES57 cited
  • 2001WITHDRAWN: Corrigendum to “Detection of change in persistence of a linear time series”: [J. Econom. 95 (2000) 97–116]52 cited
  • 2008Ratio tests for change point detection38 cited
  • 1984Inferences about the parameters of a time series model with changing variance29 cited
  • 2006Change-of-variance problem for linear processes with long memory21 cited

Cited by

No citing works inside the corpus for this window.

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work