Showing 1 - 10 of 14
Persistent link: https://www.econbiz.de/10012415316
Persistent link: https://www.econbiz.de/10003565751
Persistent link: https://www.econbiz.de/10012497181
Persistent link: https://www.econbiz.de/10014495589
Persistent link: https://www.econbiz.de/10011339294
Persistent link: https://www.econbiz.de/10010225463
Persistent link: https://www.econbiz.de/10010253641
Persistent link: https://www.econbiz.de/10012022894
Persistent link: https://www.econbiz.de/10008596094
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