SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Detection and estimation of structural change in heavy-tailed sequence
12 references·1 citing·47 second hop
Detection and estimation of structural change in heavy-tailed sequence (2016)Detection and estimation of structural ch…A new class of models for heavy tailed distributions in finance and insurance risk (2012)A new class of models for hea…Ratio tests for change point detection (2008)Ratio tests for change point …Subsampling the mean of heavy‐tailed dependent observations (2004)Subsampling the mean of heavy…A peaks over threshold model for change-point detection by wavelets (2004)A peaks over threshold model …A bootstrap approximation to a unit root test statistic for heavy-tailed observations (2003)A bootstrap approximation to …Least‐squares Estimation of an Unknown Number of Shifts in a Time Series (2000)Least‐squares Estimation of a…The sample autocorrelations of heavy-tailed processes with applications to ARCH (1998)The sample autocorrelations o…Change-point in the mean of dependent observations (1998)Change-point in the mean of d…The variation of certain speculative prices (1997)The variation of certain spec…LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES (1994)LEAST SQUARES ESTIMATION OF A…The Maximum Likelihood Method for Testing Changes in the Parameters of Normal Observations (1993)The Maximum Likelihood Method…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Subsampling ratio tests for structural changes in time series with heavy-tailed AR( p ) errors (2022)Subsampling ratio tests for s…Inference About the Change-Point in a Sequence of Random Variables (1970)Estimation of a Change Point in Multiple Regression Models (1997)The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity (2001)Do Police Reduce Crime? Estimates Using the Allocation of Police Forces After a Terrorist Attack (2004)Foundations for Financial Economics. (1989)Models for Exceedances Over High Thresholds (1990)Modelling of extremal events in insurance and finance (1994)Multiscale change point analysis in Poisson count data (2006)Change‐Point Tests for the Error Distribution in Non‐parametric Regression (2009)A Novel Method for Fast Change-Point Detection on Simulated Time Series and Electrocardiogram Data (2014)CONTINUOUS INSPECTION SCHEMES (1954)A Test for a Change in a Parameter Occurring at an Unknown Point (1955)On Tests for Detecting Change in Mean (1975)Testing for a Change in the Parameter Values and Order of an Autoregressive Model (1995)Change-Point Estimation in ARCH Models (2000)Extensions of some classical methods in change point analysis (2014)The Effect of Serial Correlation on the Performance of CUSUM Tests (1974)Limit theorems in change-point analysis (1997)Testing for Changes in Multivariate Dependent Observations with an Application to Temperature Changes (1999)On the detection of changes in autoregressive time series I. Asymptotics (2006)Time-varying correlation between stock market returns and real estate returns (2012)A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (1993)Modelling Extremal Events (1997)Temporal aggregation of volatility models (2003)Modelling Financial Time Series (2007)The quantilogram: With an application to evaluating directional predictability (2007)The extremogram: A correlogram for extreme events (2009)Capital market equilibrium in a mean-lower partial moment framework (1977)Introduction to Matrix Analytic Methods in Stochastic Modeling (1999)Skew mixture models for loss distributions: A Bayesian approach (2012)Modeling Severity and Measuring Tail Risk of Norwegian Fire Claims (2015)Compound unimodal distributions for insurance losses (2017)A Primer on Unit Root Testing (1998)Stable Paretian Models in Finance (2000)ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS (2003)Residual-Based Block Bootstrap for Unit Root Testing (2003)Bootstrap testing multiple changes in persistence for a heavy-tailed sequence (2012)UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS (2018)Estimating the number of change-points via Schwarz' criterion (1988)Nonparametric Methods in Change-Point Problems (1993)Detecting multiple breaks in financial market volatility dynamics (2002)Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model (2004)Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets (2013)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
this work references cited by second hop

References

  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1994LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES494 cited
  • 2000Least‐squares Estimation of an Unknown Number of Shifts in a Time Series276 cited
  • 1998The sample autocorrelations of heavy-tailed processes with applications to ARCH225 cited
  • 1993The Maximum Likelihood Method for Testing Changes in the Parameters of Normal Observations160 cited
  • 1998Change-point in the mean of dependent observations97 cited
  • 2012A new class of models for heavy tailed distributions in finance and insurance risk75 cited
  • 2004A peaks over threshold model for change-point detection by wavelets46 cited
  • 2003A bootstrap approximation to a unit root test statistic for heavy-tailed observations40 cited
  • 2008Ratio tests for change point detection38 cited
  • 2004Subsampling the mean of heavy‐tailed dependent observations30 cited

Cited by

  • 2022Subsampling ratio tests for structural changes in time series with heavy-tailed AR( p ) errors8 cited

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