Showing 1 - 7 of 7
Persistent link: https://www.econbiz.de/10003565751
We propose semi-parametric CUSUM tests to detect a change point in the covariance structure of non-linear multivariate models with dynamically evolving volatilities and correlations. The asymptotic distributions of the proposed statistics are derived under mild conditions. We discuss the...
Persistent link: https://www.econbiz.de/10012945121
Persistent link: https://www.econbiz.de/10012415316
Persistent link: https://www.econbiz.de/10012232846
Persistent link: https://www.econbiz.de/10012262479
Persistent link: https://www.econbiz.de/10011589013
Persistent link: https://www.econbiz.de/10014533420