SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Time Series Segmentation Procedures to Detect, Locate and Estimate Change-Points
16 references·0 citing·33 second hop
Time Series Segmentation Procedures to Detect, Locate and Estimate Change-Points (2014)Time Series Segmentation Procedures to De…Optimal Detection of Changepoints With a Linear Computational Cost (2012)Optimal Detection of Changepo…Parametric Statistical Change Point Analysis (2011)Parametric Statistical Change…Stochastic Autoregressive Volatility:A Framework for Volatility Modeling (2005)Stochastic Autoregressive Vol…The Cusum Test for Parameter Change in Time Series Models (2003)The Cusum Test for Parameter …Detecting multiple breaks in financial market volatility dynamics (2002)Detecting multiple breaks in …Change-Point Estimation in ARCH Models (2000)Change-Point Estimation in AR…Volatility in Emerging Stock Markets (1999)Volatility in Emerging Stock …Testing and Locating Variance Changepoints with Application to Stock Prices (1997)Testing and Locating Variance…Journal of the American Statistical Association (1995)Journal of the American Stati…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Nonparametric Methods in Change-Point Problems (1993)Nonparametric Methods in Chan…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…On Tests for Detecting Change in Mean (1975)On Tests for Detecting Change…A Test for a Change in a Parameter Occurring at an Unknown Point (1955)A Test for a Change in a Para…CONTINUOUS INSPECTION SCHEMES (1954)CONTINUOUS INSPECTION SCHEMESTime Series Analysis: Forecasting and Control (1977)A Guide to Simulation (1983)Selection of estimation window in the presence of breaks (2006)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Autoregressive conditional heteroskedasticity and changes in regime (1994)Time‐Varying World Market Integration (1995)Stock Market Openings: Experience of Emerging Economies (2000)Dating the integration of world equity markets (2002)Research in emerging markets finance: looking to the future (2002)Moving to Opportunity in Boston: Early Results of a Randomized Mobility Experiment (2001)Multilevel analyses of neighbourhood socioeconomic context and health outcomes: a critical review: Table 1 (2001)The Relationship Between Education and Adult Mortality in the United States (2004)changepoint : An R Package for Changepoint Analysis (2014)Wild binary segmentation for multiple change-point detection (2014)Selective review of offline change point detection methods (2019)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Procedures for Reacting to a Change in Distribution (1971)Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time (1964)Dealing with Structural Breaks (2005)Bayesian Online Changepoint Detection (2007)Structural breaks in time series (2012)Change-point detection in time-series data by relative density-ratio estimation (2013)Multiscale Change Point Inference (2014)Journal De La Société Française De Statistique (2005)Detection of multiple change-points in multivariate time series (2006)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1954CONTINUOUS INSPECTION SCHEMES5,731 cited
  • 1995Journal of the American Statistical Association5,337 cited
  • 2012Optimal Detection of Changepoints With a Linear Computational Cost2,578 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 1999Volatility in Emerging Stock Markets735 cited
  • 1955A Test for a Change in a Parameter Occurring at an Unknown Point722 cited
  • 1993Nonparametric Methods in Change-Point Problems625 cited
  • 2011Parametric Statistical Change Point Analysis597 cited
  • 1975On Tests for Detecting Change in Mean355 cited
  • 1997Testing and Locating Variance Changepoints with Application to Stock Prices338 cited
  • 2002Detecting multiple breaks in financial market volatility dynamics324 cited
  • 2000Change-Point Estimation in ARCH Models238 cited
  • 2003The Cusum Test for Parameter Change in Time Series Models222 cited

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

2005
Stochastic Autoregressive Volatility:A Framework for Volatility Modeling
152 cited

Cited by

No citing works inside the corpus for this window.