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A completely automated optimization strategy for global minimum-variance portfolios based on a new test for structural breaks
Berens, Tobias; Wied, Dominik; Ziggel, Daniel - 2013
Persistent link: https://www.econbiz.de/10009776171
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Robust tests for change in intercept and slope in linear regression models with application to manager performance in the mutual fund industry
Pouliot, William - In: Economic modelling 58 (2016), pp. 523-534
Persistent link: https://www.econbiz.de/10011647526
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Bias correction of KPSS test with structural break for reducing of size distortion
Skrobotov, Anton - In: Journal of time series econometrics 6 (2014) 1, pp. 33-61
Persistent link: https://www.econbiz.de/10010225253
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A model validation procedure
Polak, Julia; King, Maxwell L.; Zhang, Xibin - 2014
Persistent link: https://www.econbiz.de/10011780832
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In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time
Tayanagi, Toshikazu; Kurozumi, Eiji - In: Journal of time series econometrics 15 (2023) 2, pp. 111-149
Persistent link: https://www.econbiz.de/10014465604
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Testing for structural breaks in factor copula models
Manner, Hans; Stark, Florian; Wied, Dominik - In: Journal of econometrics 208 (2019) 2, pp. 324-345
Persistent link: https://www.econbiz.de/10012145023
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The moving-estimates test for parameter stability
Chu, Chia-shang James; Hornik, Kurt; Kuan, Chung-ming - 1994 - 2. rev
Persistent link: https://www.econbiz.de/10000891690
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The moving-estimates test for parameter stability
Chu, Chia-shang James; Hornik, Kurt; Kuan, Chung-ming - 1993 - Rev
Persistent link: https://www.econbiz.de/10000880879
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Testing structural breaks versus long memory with the Box-Pierce statistics : a Monte Carlo study
Bisaglia, Luisa; Gerolimetto, Margherita - In: Statistical methods & applications : SMA ; journal of … 18 (2009) 4, pp. 543-553
Persistent link: https://www.econbiz.de/10003900173
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Asymptotic distribution theory for break point estimators in models estimated via 2SLS
Boldea, Otilia; Hall, Alastair R.; Han, Sanggohn - 2009
Persistent link: https://www.econbiz.de/10003935269