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Monitoring multivariate time series
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Monitoring multivariate time series (2016)Monitoring multivariate time seriesDynamic Factor Models (2012)Dynamic Factor ModelsThe Oxford Handbook of Economic Forecasting (2011)The Oxford Handbook of Econom…Testing for Change Points in Time Series (2010)Testing for Change Points in …Break detection in the covariance structure of multivariate time series models (2009)Break detection in the covari…Break detection in the covariance structure of multivariate time series models (2009)Break detection in the covari…Extreme Value Theory (2006)Extreme Value TheoryNonstationarities in Stock Returns (2005)Nonstationarities in Stock Re…Strong rules for detecting the number of breaks in a time series (2003)Strong rules for detecting th…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Detection of change in persistence of a linear time series (2000)Detection of change in persis…Testing For and Dating Common Breaks in Multivariate Time Series (1998)Testing For and Dating Common…Testing and Locating Variance Changepoints with Application to Stock Prices (1997)Testing and Locating Variance…Monitoring Structural Change (1996)Monitoring Structural ChangeUse of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Monitoring Value-at-Risk and Expected Shortfall Forecasts (2022)Monitoring Value-at-Risk and …Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models (2018)Confidence Intervals for Cond…The Scree Test For The Number Of Factors (1966)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Disentangling the Channels of the 2007-2009 Recession (2012)Now-Casting and the Real-Time Data Flow (2013)Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics (2016)Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time (1964)Journal of the American Statistical Association (1995)Change-Point Estimation in ARCH Models (2000)Analysis of changepoint models (2011)Nonparametric maximum likelihood approach to multiple change-point problems (2014)Procedures for Reacting to a Change in Distribution (1971)Optimal Stopping Times for Detecting Changes in Distributions (1986)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Selection of estimation window in the presence of breaks (2006)Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods (2011)Structural breaks in time series (2012)Generalized autoregressive conditional heteroskedasticity (1986)A Capital Asset Pricing Model with Time-Varying Covariances (1988)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Are Financial Assets Priced Locally or Globally? (2002)Dating the integration of world equity markets (2002)Instability of return prediction models (2006)Time Series Analysis: Forecasting and Control (1977)A Guide to Simulation (1983)Volatility in Emerging Stock Markets (1999)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Inflation (2013)The VP-function revisited: a survey of the literature on vote and popularity functions after over 40 years (2013)Predicting the present with Bayesian structural time series (2014)Copulas: A Personal View (2009)Extreme-Value Copulas (2010)Extreme events: dynamics, statistics and prediction (2011)
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References

  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 2012Dynamic Factor Models468 cited
  • 2011The Oxford Handbook of Economic Forecasting444 cited
  • 2006Extreme Value Theory442 cited
  • 1998Testing For and Dating Common Breaks in Multivariate Time Series434 cited
  • 1996Monitoring Structural Change386 cited
  • 1997Testing and Locating Variance Changepoints with Application to Stock Prices338 cited
  • 2009Break detection in the covariance structure of multivariate time series models313 cited
  • 2005Nonstationarities in Stock Returns296 cited
  • 2010Testing for Change Points in Time Series253 cited
  • 2009Break detection in the covariance structure of multivariate time series models247 cited
  • 2000Detection of change in persistence of a linear time series225 cited

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  • 2003Strong rules for detecting the number of breaks in a time series117 cited
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    • 2022Monitoring Value-at-Risk and Expected Shortfall Forecasts35 cited
    • 2018Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models35 cited