Sequential detection of parameter changes in dynamic conditional correlation models

DOI10.1002/asmb.2578MaRDI QIDQ6579557

Dominik Wied, Pedro Galeano, Katharina Pape

Publication date: 25 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

threshold functiononline detectionparameter changesdynamic conditional correlation modelmultivariate sequences

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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