Testing for constant correlation of filtered series under structural change

DOI10.1111/ECTJ.12116OpenAlexW2810016197WikidataQ129614962 ScholiaQ129614962MaRDI QIDQ5084327

Dominik Wied, Matei Demetrescu

Publication date: 24 June 2022

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/ectj.12116

zbMATH Keywords

bootstrappartial sumsstructural breakestimation errortwo-step procedure

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (4)

Functional Estimation and Change Detection for Nonstationary Time Series ⋮ Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models ⋮ Modified tests for change points in variance in the possible presence of mean breaks ⋮ A self-normalization break test for correlation matrix

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