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Monitoring Structural Change

Citations

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Cited by:

  1. Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2011. "Testing for Multiple Bubbles," Working Papers 09-2011, Singapore Management University, School of Economics.
  2. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
  3. William Kengne & Isidore S. Ngongo, 2022. "Inference for nonstationary time series of counts with application to change-point problems," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(4), pages 801-835, August.
  4. Wagner, Martin & Wied, Dominik, 2014. "Monitoring Stationarity and Cointegration," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100386, Verein für Socialpolitik / German Economic Association.
  5. Mengrui Zhu & Hua Xu & Xingyu Gao & Minggang Wang & André L. M. Vilela & Lixin Tian, 2022. "Identification of Breakpoints in Carbon Market Based on Probability Density Recurrence Network," Energies, MDPI, vol. 15(15), pages 1-18, July.
  6. Julia Reynolds & Leopold Sögner & Martin Wagner, 2021. "Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(2), pages 105-146, June.
  7. Hoga, Yannick, 2017. "Monitoring multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 105-121.
  8. Pesaran, M. Hashem & Timmermann, Allan, 2004. "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, vol. 20(3), pages 411-425.
  9. Frédéric Carsoule & Philip Franses, 2003. "A note on monitoring time-varying parameters in an autoregression," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 57(1), pages 51-62, February.
  10. Lajos Horv'ath & Zhenya Liu & Shanglin Lu, 2020. "Sequential Monitoring of Changes in Housing Prices," Papers 2002.04101, arXiv.org.
  11. Carsoule, F. & Franses, Ph.H.B.F., 1999. "Monitoring structural change in variance," Econometric Institute Research Papers EI 9925A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  12. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1998. "Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange," Center for Financial Institutions Working Papers 99-05, Wharton School Center for Financial Institutions, University of Pennsylvania.
  13. Li, Haixi & Sheng, Xuguang Simon & Yang, Jingyun, 2021. "Monitoring recessions: A Bayesian sequential quickest detection method," International Journal of Forecasting, Elsevier, vol. 37(2), pages 500-510.
  14. Christis Katsouris, 2023. "Limit Theory under Network Dependence and Nonstationarity," Papers 2308.01418, arXiv.org, revised Aug 2023.
  15. Christis Katsouris, 2023. "Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models," Papers 2308.13915, arXiv.org.
  16. Fabrizio Ghezzi & Eduardo Rossi & Lorenzo Trapani, 2024. "Fast Online Changepoint Detection," Papers 2402.04433, arXiv.org.
  17. Jana Eklund & George Kapetanios & Simon Price, 2013. "Robust Forecast Methods and Monitoring during Structural Change," Manchester School, University of Manchester, vol. 81, pages 3-27, October.
  18. Šárka Hudecová & Marie Hušková & Simos G. Meintanis, 2017. "Tests for Structural Changes in Time Series of Counts," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(4), pages 843-865, December.
  19. Barigozzi, Matteo & Trapani, Lorenzo, 2020. "Sequential testing for structural stability in approximate factor models," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5149-5187.
  20. Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela, 2017. "Learning and forecasts about option returns through the volatility risk premium," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 312-330.
  21. Bardet, Jean-Marc & Kengne, William, 2014. "Monitoring procedure for parameter change in causal time series," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 204-221.
  22. Lee, Sangyeol & Park, Siyun, 2009. "The monitoring test for the stability of regression models with nonstationary regressors," Economics Letters, Elsevier, vol. 105(3), pages 250-252, December.
  23. Martin Wagner & Dominik Wied, 2017. "Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 960-980, November.
  24. Mikkel Bennedsen, 2020. "Designing a sequential testing procedure for verifying global CO2 emissions," CREATES Research Papers 2020-01, Department of Economics and Business Economics, Aarhus University.
  25. Horváth, Lajos & Kokoszka, Piotr & Steinebach, Josef, 2007. "On sequential detection of parameter changes in linear regression," Statistics & Probability Letters, Elsevier, vol. 77(9), pages 885-895, May.
  26. Christis Katsouris, 2023. "Predictability Tests Robust against Parameter Instability," Papers 2307.15151, arXiv.org.
  27. Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
  28. Jörg Breitung & Robinson Kruse, 2013. "When bubbles burst: econometric tests based on structural breaks," Statistical Papers, Springer, vol. 54(4), pages 911-930, November.
  29. In-Koo Cho & Kenneth Kasa, 2015. "Learning and Model Validation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(1), pages 45-82.
  30. Eklund, Jana & Kapetanios, George & Price, Simon, 2010. "Forecasting in the presence of recent structural change," Bank of England working papers 406, Bank of England.
  31. Zeileis, Achim & Shah, Ajay & Patnaik, Ila, 2010. "Testing, monitoring, and dating structural changes in exchange rate regimes," Computational Statistics & Data Analysis, Elsevier, vol. 54(6), pages 1696-1706, June.
  32. Yazgan, M. Ege & Özkan, Harun, 2015. "Detecting structural changes using wavelets," Finance Research Letters, Elsevier, vol. 12(C), pages 23-37.
  33. Zhanshou Chen & Yanting Xiao & Fuxiao Li, 2021. "Monitoring memory parameter change-points in long-memory time series," Empirical Economics, Springer, vol. 60(5), pages 2365-2389, May.
  34. Lorenzo Trapani & Emily Whitehouse, 2020. "Sequential monitoring for cointegrating regressions," Papers 2003.12182, arXiv.org.
  35. Joseph E. Harrington, Jr, 2005. "Detecting Cartels," Economics Working Paper Archive 526, The Johns Hopkins University,Department of Economics.
  36. Guidolin, Massimo, 2006. "Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle," Journal of Economics and Business, Elsevier, vol. 58(2), pages 85-118.
  37. WANG, Kent & WANG, Shin-Huei & PAN, Zheyao, 2013. "Can federal reserve policy deviation explain response patterns of financial markets over time?," LIDAM Discussion Papers CORE 2013029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  38. Bock, David & Pettersson, Kjell, 2007. "Explorative analysis of spatial aspects on the Swedish influenza data," Research Reports 2007:10, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
  39. Kurt Hornik & Friedrich Leisch & Christian Kleiber & Achim Zeileis, 2005. "Monitoring structural change in dynamic econometric models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 99-121.
  40. Bock, David, 2007. "Evaluations of likelihood based surveillance of volatility," Research Reports 2007:9, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
  41. Horváth, Lajos & Liu, Zhenya & Rice, Gregory & Wang, Shixuan, 2020. "Sequential monitoring for changes from stationarity to mild non-stationarity," Journal of Econometrics, Elsevier, vol. 215(1), pages 209-238.
  42. Marianne Frisén, 2003. "Statistical Surveillance. Optimality and Methods," International Statistical Review, International Statistical Institute, vol. 71(2), pages 403-434, August.
  43. Sjoerd van den Hauwe & Richard Paap & Dick J.C. van Dijk, 2011. "An Alternative Bayesian Approach to Structural Breaks in Time Series Models," Tinbergen Institute Discussion Papers 11-023/4, Tinbergen Institute.
  44. Yudong Chen & Tengyao Wang & Richard J. Samworth, 2022. "High‐dimensional, multiscale online changepoint detection," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(1), pages 234-266, February.
  45. Pesaran, M. Hashem & Timmermann, Allan, 2005. "Small sample properties of forecasts from autoregressive models under structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 183-217.
  46. Hock, Thorsten, 2008. "Tactical size rotation in Switzerland," W.E.P. - Würzburg Economic Papers 77, University of Würzburg, Department of Economics.
  47. Altissimo, Filippo & Corradi, Valentina, 2003. "Strong rules for detecting the number of breaks in a time series," Journal of Econometrics, Elsevier, vol. 117(2), pages 207-244, December.
  48. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021. "Selecting a Model for Forecasting," Econometrics, MDPI, vol. 9(3), pages 1-35, June.
  49. Frisén, Marianne, 2008. "Introduction to financial surveillance," Research Reports 2008:1, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
  50. Xu, Ke-Li, 2013. "Powerful tests for structural changes in volatility," Journal of Econometrics, Elsevier, vol. 173(1), pages 126-142.
  51. Chevallier, Julien, 2011. "Detecting instability in the volatility of carbon prices," Energy Economics, Elsevier, vol. 33(1), pages 99-110, January.
  52. Arora, Vipin & Gomis-Porqueras, Pedro & Shi, Shuping, 2013. "The divergence between core and headline inflation: Implications for consumers’ inflation expectations," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 497-504.
  53. Castrillón-Candás, Julio E. & Kon, Mark, 2022. "Anomaly detection: A functional analysis perspective," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
  54. Czinkota, Thomas, 2012. "Das Halteproblem bei Strukturbrüchen in Finanzmarktzeitreihen [The Halting Problem applied to Structural Breaks in Financial Time Series]," MPRA Paper 37072, University Library of Munich, Germany.
  55. Gantungalag Altansukh & Denise R. Osborn, 2022. "Using structural break inference for forecasting time series," Empirical Economics, Springer, vol. 63(1), pages 1-41, July.
  56. Cizek, P. & Haerdle, W. & Spokoiny, V., 2007. "Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models," Other publications TiSEM a797e4a8-12cf-4ac5-9fae-b, Tilburg University, School of Economics and Management.
  57. Martínez-Ovando Juan Carlos & Walker Stephen G., 2011. "Time-series Modelling, Stationarity and Bayesian Nonparametric Methods," Working Papers 2011-08, Banco de México.
  58. Hsu, Chih-Chiang, 2007. "The MOSUM of squares test for monitoring variance changes," Finance Research Letters, Elsevier, vol. 4(4), pages 254-260, December.
  59. Abhijit Sharma & Kelvin G Balcombe & Iain M Fraser, 2009. "Non-renewable resource prices: Structural breaks and long term trends," Economics Bulletin, AccessEcon, vol. 29(2), pages 805-819.
  60. Alberto Cazzola & Lucia Pasquini & Aurora Angeli, 2016. "The relationship between unemployment and fertility in Italy," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 34(1), pages 1-38.
  61. Otto, Sven & Breitung, Jörg, 2020. "Backward CUSUM for Testing and Monitoring Structural Change," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224533, Verein für Socialpolitik / German Economic Association.
  62. Anatolyev, Stanislav, 2009. "Nonparametric Retrospection and Monitoring of Predictability of Financial Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 149-160.
  63. Aue, Alexander & Horváth, Lajos & Reimherr, Matthew L., 2009. "Delay times of sequential procedures for multiple time series regression models," Journal of Econometrics, Elsevier, vol. 149(2), pages 174-190, April.
  64. Andreou, Elena & Ghysels, Eric, 2008. "Quality control for structural credit risk models," Journal of Econometrics, Elsevier, vol. 146(2), pages 364-375, October.
  65. Jan Verbesselt & Achim Zeileis & Martin Herold, 2011. "Near Real-Time Disturbance Detection in Terrestrial Ecosystems Using Satellite Image Time Series: Drought Detection in Somalia," Working Papers 2011-18, Faculty of Economics and Statistics, Universität Innsbruck.
  66. Bock, David, 2007. "Consequences of using the probability of a false alarm as the false alarm measure," Research Reports 2007:3, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
  67. Vasyl Golosnoy, 2007. "Sequential monitoring of minimum variance portfolio," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 91(1), pages 39-55, March.
  68. Sloan, Frank A. & Smith, V. Kerry & Taylor, Donald Jr., 2002. "Information, addiction, and 'bad choices': lessons from a century of cigarettes," Economics Letters, Elsevier, vol. 77(2), pages 147-155, October.
  69. In-Koo Cho & Ken Kasa, 2012. "Model Validation and Learning," Discussion Papers dp12-07, Department of Economics, Simon Fraser University.
  70. Christis Katsouris, 2023. "Testing for Structural Change under Nonstationarity," Papers 2302.02370, arXiv.org.
  71. Claudia Kirch & Christina Stoehr, 2022. "Sequential change point tests based on U‐statistics," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(3), pages 1184-1214, September.
  72. Marie Hušková & Claudia Kirch, 2012. "Bootstrapping sequential change-point tests for linear regression," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(5), pages 673-708, July.
  73. Christis Katsouris, 2023. "Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates," Papers 2302.05193, arXiv.org.
  74. Robert Garthoff, 2014. "Sequentielle Überwachung von Finanzzeitreihen anhand von Residuenkarten," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 8(3), pages 91-113, September.
  75. Chen, Zhanshou & Tian, Zheng, 2010. "Modified procedures for change point monitoring in linear models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(1), pages 62-75.
  76. Mikkel Bennedsen, 2021. "Designing a statistical procedure for monitoring global carbon dioxide emissions," Climatic Change, Springer, vol. 166(3), pages 1-19, June.
  77. Chen, Yudong & Wang, Tengyao & Samworth, Richard J., 2022. "High-dimensional, multiscale online changepoint detection," LSE Research Online Documents on Economics 113665, London School of Economics and Political Science, LSE Library.
  78. Jan J. J. Groen & George Kapetanios & Simon Price, 2013. "Multivariate Methods For Monitoring Structural Change," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(2), pages 250-274, March.
  79. Peter C. B. Phillips & Shuping Shi & Jun Yu, 2015. "Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(4), pages 1043-1078, November.
  80. Pape, Katharina & Wied, Dominik & Galeano, Pedro, 2016. "Monitoring multivariate variance changes," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 54-68.
  81. Chiu, Ching-Wai (Jeremy) & Hayes, Simon & Kapetanios, George & Theodoridis, Konstantinos, 2019. "A new approach for detecting shifts in forecast accuracy," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1596-1612.
  82. Torben G. Andersen & Viktor Todorov & Bo Zhou, 2023. "Real-Time Detection of Local No-Arbitrage Violations," Papers 2307.10872, arXiv.org.
  83. Mamadou Lamine Diop & William Kengne, 2022. "Poisson QMLE for change-point detection in general integer-valued time series models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(3), pages 373-403, April.
  84. Anatolyev Stanislav & Kosenok Grigory, 2018. "Sequential Testing with Uniformly Distributed Size," Journal of Time Series Econometrics, De Gruyter, vol. 10(2), pages 1-22, July.
  85. Jorge Hernán Toro-Córdoba & Fredy Gamboa-Estrada & Laura Viviana León-Díaz & Martha López & Lucía Arango-Lozano & Diego Alejandro Martínez-Cruz & Luis Fernando Melo-Velandia & Carlos Andrés Quicazán-M, 2023. "Flujos de Capital de Portafolio en Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, issue 105, pages 1-103, July.
  86. Sven Otto & Jorg Breitung, 2020. "Backward CUSUM for Testing and Monitoring Structural Change with an Application to COVID-19 Pandemic Data," Papers 2003.02682, arXiv.org, revised Mar 2022.
  87. Josef Steinebach, 2009. "Monitoring risk in a ruin model perturbed by diffusion," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 70(2), pages 205-224, September.
  88. Thorsten Hock, 2010. "Tactical Size Rotation in Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(III), pages 553-576, September.
  89. Golosnoy, Vasyl & Schmid, Wolfgang & Seifert, Miriam Isabel & Lazariv, Taras, 2020. "Statistical inferences for realized portfolio weights," Econometrics and Statistics, Elsevier, vol. 14(C), pages 49-62.
  90. Aue, Alexander & Horváth, Lajos, 2004. "Delay time in sequential detection of change," Statistics & Probability Letters, Elsevier, vol. 67(3), pages 221-231, April.
  91. White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
  92. Luis F. Martins & Paulo M. M. Rodrigues, 2022. "Tests for segmented cointegration: an application to US governments budgets," Empirical Economics, Springer, vol. 63(2), pages 567-600, August.
  93. David Bock & Eva Andersson & Marianne Frisén, 2005. "Statistical surveillance of cyclical processes with application to turns in business cycles," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(7), pages 465-490.
  94. Clements, Michael P. & Hendry, David F., 1998. "Forecasting economic processes," International Journal of Forecasting, Elsevier, vol. 14(1), pages 111-131, March.
  95. Vasyl Golosnoy, 2018. "Sequential monitoring of portfolio betas," Statistical Papers, Springer, vol. 59(2), pages 663-684, June.
  96. Dominik Wied & Daniel Ziggel & Tobias Berens, 2013. "On the application of new tests for structural changes on global minimum-variance portfolios," Statistical Papers, Springer, vol. 54(4), pages 955-975, November.
  97. Carsten J. Crede, 2019. "A Structural Break Cartel Screen for Dating and Detecting Collusion," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 54(3), pages 543-574, May.
  98. Frisén, Marianne & Andersson, Eva & Schiöler, Linus, 2009. "Sufficient reduction in multivariate surveillance," Research Reports 2009:2, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
  99. Christopher Dienes & Alexander Aue, 2014. "On-Line Monitoring Of Pollution Concentrations With Autoregressive Moving Average Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 239-261, May.
  100. Jan J. J. Groen & George Kapetanios & Simon Price, 2013. "Multivariate Methods For Monitoring Structural Change," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(2), pages 250-274, March.
  101. Yannick Hoga & Matei Demetrescu, 2023. "Monitoring Value-at-Risk and Expected Shortfall Forecasts," Management Science, INFORMS, vol. 69(5), pages 2954-2971, May.
  102. Josua Gösmann & Tobias Kley & Holger Dette, 2021. "A new approach for open‐end sequential change point monitoring," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(1), pages 63-84, January.
  103. Bernales, Alejandro & Guidolin, Massimo, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Journal of Financial Markets, Elsevier, vol. 26(C), pages 1-37.
  104. Monika Bours & Ansgar Steland, 2021. "Large‐sample approximations and change testing for high‐dimensional covariance matrices of multivariate linear time series and factor models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(2), pages 610-654, June.
  105. Phong B. Dao, 2021. "A CUSUM-Based Approach for Condition Monitoring and Fault Diagnosis of Wind Turbines," Energies, MDPI, vol. 14(11), pages 1-19, June.
  106. E. Andersson & D. Bock & M. Frisen, 2006. "Some statistical aspects of methods for detection of turning points in business cycles," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(3), pages 257-278.
  107. Fukuda, Kosei, 2006. "Monitoring unit root and multiple structural changes: An information criterion approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 71(2), pages 121-130.
  108. Franses, Philip Hans, 2016. "A simple test for a bubble based on growth and acceleration," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 160-169.
  109. Sam Astill & David I Harvey & Stephen J Leybourne & A M Robert Taylor & Yang Zu, 2023. "CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 187-227.
  110. Okyoung Na & Youngmi Lee & Sangyeol Lee, 2011. "Monitoring parameter change in time series models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 20(2), pages 171-199, June.
  111. Chen, Zhanshou & Tian, Zheng & Wei, Yuesong, 2010. "Monitoring change in persistence in linear time series," Statistics & Probability Letters, Elsevier, vol. 80(19-20), pages 1520-1527, October.
  112. Yu Shi & Qixuan Luo & Handong Li, 2019. "An Agent-Based Model of a Pricing Process with Power Law, Volatility Clustering, and Jumps," Complexity, Hindawi, vol. 2019, pages 1-10, February.
  113. Zhou, Mi & Wang, Huixia Judy & Tang, Yanlin, 2015. "Sequential change point detection in linear quantile regression models," Statistics & Probability Letters, Elsevier, vol. 100(C), pages 98-103.
  114. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Business School, revised Sep 2013.
  115. Elie Bouri & Rangan Gupta & Shixuan Wang, 2022. "Nonlinear contagion between stock and real estate markets: International evidence from a local Gaussian correlation approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2089-2109, April.
  116. Dominik Wied & Matthias Arnold & Nicolai Bissantz & Daniel Ziggel, 2012. "A new fluctuation test for constant variances with applications to finance," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(8), pages 1111-1127, November.
  117. Haitham A. Al-Zoubi & Aktham Maghyereh, 2007. "Stationary Component in Stock Prices: A Reappraisal of Empirical Findings," Multinational Finance Journal, Multinational Finance Journal, vol. 11(3-4), pages 287-322, September.
  118. Heinen, Florian & Willert, Juliane, 2011. "Monitoring a change in persistence of a long range dependent time series," Hannover Economic Papers (HEP) dp-479, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  119. Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 219-255, June.
  120. Chochola, Ondřej & Hušková, Marie & Prášková, Zuzana & Steinebach, Josef G., 2013. "Robust monitoring of CAPM portfolio betas," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 374-395.
  121. Aue, Alexander, 2004. "Strong approximation for RCA(1) time series with applications," Statistics & Probability Letters, Elsevier, vol. 68(4), pages 369-382, July.
  122. Zhou, Yong & Wan, Alan T.K. & Xie, Shangyu & Wang, Xiaojing, 2010. "Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance," Journal of Econometrics, Elsevier, vol. 159(1), pages 183-201, November.
  123. Kosei Fukuda, 2007. "Simulated real-time detection of multiple structural changes: Evidence from Japanese economic growth," Statistical Papers, Springer, vol. 48(4), pages 559-580, October.
  124. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.
  125. Pierre Perron & Eduardo Zorita & Eiji Kurozumi, 2017. "Monitoring Parameter Constancy with Endogenous Regressors," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(5), pages 791-805, September.
  126. Christis Katsouris, 2022. "Partial Sum Processes of Residual-Based and Wald-type Break-Point Statistics in Time Series Regression Models," Papers 2202.00141, arXiv.org, revised Feb 2022.
  127. Lajos Horv'ath & Lorenzo Trapani, 2023. "Real-time monitoring with RCA models," Papers 2312.11710, arXiv.org.
  128. Amitava Mukherjee, 2013. "Nonparametric Phase-II monitoring for detecting monotone trend based on inverse sampling," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 22(2), pages 131-153, June.
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