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Change Point Analysis of Correlation in Non-stationary Time Series
16 references·1 citing·35 second hop
Change Point Analysis of Correlation in Non-stationary Time Series (2017)Change Point Analysis of Correlation in N…Detecting Relevant Changes in Time Series Models (2015)Detecting Relevant Changes in…Detection of Multiple Structural Breaks in Multivariate Time Series (2014)Detection of Multiple Structu…Detecting Gradual Changes in Locally Stationary Processes (2014)Detecting Gradual Changes in …Structural breaks in time series (2012)Structural breaks in time ser…TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD (2011)TESTING FOR A CHANGE IN CORRE…Break detection in the covariance structure of multivariate time series models (2009)Break detection in the covari…Testing for changes in the covariance structure of linear processes (2008)Testing for changes in the co…Covariance changes detection in multivariate time series (2005)Covariance changes detection …Estimation of GARCH Models from the Autocorrelations of the Squares of a Process (2001)Estimation of GARCH Models fr…Testing and Locating Variance Changepoints with Application to Stock Prices (1997)Testing and Locating Variance…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…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…CONTINUOUS INSPECTION SCHEMES (1954)CONTINUOUS INSPECTION SCHEMESChange-point analysis of time series with evolutionary spectra (2024)Change-point analysis of time…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Inference for single and multiple change‐points in time series (2013)A computationally efficient nonparametric approach for changepoint detection (2016)On optimal multiple changepoint algorithms for large data (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)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)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)Is the correlation in international equity returns constant: 1960–1990? (1995)Long-Term Global Market Correlations (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance (2016)TESTING FOR CHANGES IN KENDALL’S TAU (2016)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Extensions of some classical methods in change point analysis (2014)Uniform change point tests in high dimension (2015)Econometric Analysis of Cross Section and Panel Data (2001)Procedures for Reacting to a Change in Distribution (1971)changepoint : An R Package for Changepoint Analysis (2014)Selective review of offline change point detection methods (2019)A GUIDE TO WAVELETS FOR ECONOMISTS* (2007)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1954CONTINUOUS INSPECTION SCHEMES5,731 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 2012Structural breaks in time series444 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance399 cited
  • 1997Testing and Locating Variance Changepoints with Application to Stock Prices338 cited
  • 2009Break detection in the covariance structure of multivariate time series models313 cited
  • 2011TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD116 cited
  • 2014Detection of Multiple Structural Breaks in Multivariate Time Series107 cited
  • 2008Testing for changes in the covariance structure of linear processes75 cited
  • 2015Detecting Relevant Changes in Time Series Models63 cited
  • 2005Covariance changes detection in multivariate time series58 cited
  • 2001

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Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
56 cited
  • 2014Detecting Gradual Changes in Locally Stationary Processes47 cited
  • Cited by

    • 2024Change-point analysis of time series with evolutionary spectra13 cited