We consider a new procedure for detecting structural breaks in mean for high-dimensional time series. We target breaks happening at unknown time points and locations. In particular, at a fixed time point our method is concerned with either the biggest break in one location or aggregating...

We investigate the asymptotic properties of the Gaussian Quasi-Maximum-Likelihood estimator (QMLE) for the Real-time GARCH(1,1) model of Smetanina (2017). The developed theory relies on the new dependence measure developed in Wu (2005) and is substantially different to the standard asymptotic...

For change-point analysis of high dimensional time series, we consider a semiparametric model with dynamic structural break factors. The observations are described by a few low dimensional factors with time-invariate loading functions of covariates. The unknown structural break in time models...