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Quasi-autocorrelation coefficient change test of heavy-tailed sequences based on M-estimation
16 references·0 citing·50 second hop
Quasi-autocorrelation coefficient change test of heavy-tailed sequences based on M-estimation (2024)Quasi-autocorrelation coefficient change …Change Point Analysis of Correlation in Non-stationary Time Series (2017)Change Point Analysis of Corr…Abrupt change in mean using block bootstrap and avoiding variance estimation (2017)Abrupt change in mean using b…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…Monitoring parameter change in time series models (2011)Monitoring parameter change i…Application of the Generalized Likelihood Ratio Test for Detecting Changes in the Mean of Multivariate GARCH Processes (2009)Application of the Generalize…Ratio tests for change point detection (2008)Ratio tests for change point …A Change-Point Model for a Shift in Variance (2005)A Change-Point Model for a Sh…The Cusum Test for Parameter Change in Regression Models with ARCH Errors (2004)The Cusum Test for Parameter …Structural Change Tests in Tail Behaviour and the Asian Crisis (2001)Structural Change Tests in Ta…On the Cusum test for parameter changes in garch(1,1) Models (2000)On the Cusum test for paramet…Cointegrated processes with infinite variance innovations (1998)Cointegrated processes with i…TESTS AND ESTIMATORS FOR THE CHANGE POINT PROBLEM BASED ON M - STATISTICS (1996)TESTS AND ESTIMATORS FOR THE …Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Testing a Sequence of Observations for a Shift in Location (1977)Testing a Sequence of Observa…Portfolio Analysis in a Stable Paretian Market (1965)Portfolio Analysis in a Stabl…CONTINUOUS INSPECTION SCHEMES (1954)CONTINUOUS INSPECTION SCHEMESLong-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)Extensions of some classical methods in change point analysis (2014)Nuisance-parameter-free changepoint detection in non-stationary series (2019)Cumulative Sum Charts and Charting for Quality Improvement (1998)The Changepoint Model for Statistical Process Control (2003)A change point method for linear profile data (2006)A control chart based on a change-point model for monitoring linear profiles (2006)Parametric and Nonparametric Sequential Change Detection in R: The cpm Package (2015)Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time (1964)Inference About the Change-Point in a Sequence of Random Variables (1970)On Tests for Detecting Change in Mean (1975)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES (1994)Dealing with Structural Breaks (2005)A Test for a Change in a Parameter Occurring at an Unknown Point (1955)THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS (2008)Modelling financial volatility in the presence of abrupt changes (2012)CUSUM test for general nonlinear integer-valued GARCH models: comparison study (2018)Economic Control of Quality of Manufactured Product. (1932)Quality Control and Industrial Statistics. (1967)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)Book Review: Time Series Analysis: Forecasting and Control (1977)A Guide to Simulation (1983)A guide to simulation (2nd ed.) (1986)Volatility in Emerging Stock Markets (1999)Optimal Detection of Changepoints With a Linear Computational Cost (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Generalized autoregressive conditional heteroskedasticity (1986)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Detecting multiple breaks in financial market volatility dynamics (2002)The Cusum Test for Parameter Change in Time Series Models (2003)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)Structural breaks in time series (2012)Oil and stock markets before and after financial crises: A local Gaussian correlation approach (2017)Brownian Motion in the Stock Market (1959)A Simplified Model for Portfolio Analysis (1963)The Behavior of Stock-Market Prices (1965)The Adjustment of Stock Prices to New Information (1969)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)Banking System Stability: A Cross-Atlantic Perspective (2005)Extreme US stock market fluctuations in the wake of 9/11 (2008)Tail Risk and Asset Prices (2014)
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References

  • 1954CONTINUOUS INSPECTION SCHEMES5,779 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,237 cited
  • 1965Portfolio Analysis in a Stable Paretian Market468 cited
  • 1977Testing a Sequence of Observations for a Shift in Location338 cited
  • 2005A Change-Point Model for a Shift in Variance148 cited
  • 2001Structural Change Tests in Tail Behaviour and the Asian Crisis140 cited
  • 2011TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD116 cited
  • 2000On the Cusum test for parameter changes in garch(1,1) Models79 cited
  • 2004The Cusum Test for Parameter Change in Regression Models with ARCH Errors72 cited
  • 2008Ratio tests for change point detection38 cited
  • 2011Monitoring parameter change in time series models37 cited
  • 2017Change Point Analysis of Correlation in Non-stationary Time Series25 cited
  • 1996TESTS AND ESTIMATORS FOR THE CHANGE POINT PROBLEM BASED ON M - STATISTICS19 cited
  • 1998Cointegrated processes with infinite variance innovations18 cited
  • 2017Abrupt change in mean using block bootstrap and avoiding variance estimation13 cited

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  • 2009Application of the Generalized Likelihood Ratio Test for Detecting Changes in the Mean of Multivariate GARCH Processes12 cited
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