Dating multiple change points in the correlation matrix

DOI10.1007/s11749-016-0513-3OpenAlexW3123366284MaRDI QIDQ1694371

Pedro Galeano, Dominik Wied

Publication date: 1 February 2018

Published in: Test (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/33114

zbMATH Keywords

correlation matrixnonparametric estimationbinary segmentation algorithmCUSUM statisticsfinancial returnsmultiple change point detection

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (2)

Detection of multiple change-points in the scale parameter of a gamma distributed sequence based on reversible jump MCMC ⋮ A residual-based multivariate constant correlation test

Uses Software

• wbs
• basta

Cites Work

• Break detection in the covariance structure of multivariate time series models
• The asymptotic behavior of some nonparametric change-point estimators
• Structural breaks in time series
• Moment Consistency of the Exchangeably Weighted Bootstrap for Semiparametric M-estimation
• Stochastic Limit Theory
• Estimating and Testing Linear Models with Multiple Structural Changes
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Unnamed Item

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