Multiple break detection in the correlation structure of random variables
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DOI: 10.1016/j.csda.2013.02.031
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Citations
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Cited by:
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- Bastidon, Cécile & Parent, Antoine & Jensen, Pablo & Abry, Patrice & Borgnat, Pierre, 2020.
"Graph-based era segmentation of international financial integration,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
- C'ecile Bastidon & Antoine Parent & Pablo Jensen & Patrice Abry & Pierre Borgnat, 2019. "Graph-based era segmentation of international financial integration," Papers 1905.11842, arXiv.org.
- Cécile Bastidon & Antoine Parent & Pablo Jensen & Patrice Abry & Pierre Borgnat, 2020. "Graph-based era segmentation of international financial integration," Post-Print hal-04255796, HAL.
- Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2015. "Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 135-152.
- Adams, Zeno & Glück, Thorsten, 2013. "Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79949, Verein für Socialpolitik / German Economic Association.
- repec:hal:spmain:info:hdl:2441/ps168627s85g86i5u1aj5akpm is not listed on IDEAS
- Duan, Fang, 2022. "Forecasting risk measures based on structural breaks in the correlation matrix," Ruhr Economic Papers 945, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Choi, Ji-Eun & Shin, Dong Wan, 2019. "Moving block bootstrapping for a CUSUM test for correlation change," Computational Statistics & Data Analysis, Elsevier, vol. 135(C), pages 95-106.
- Bastidon, Cécile & Parent, Antoine & Jensen, Pablo & Abry, Patrice & Borgnat, Pierre, 2020.
"Graph-based era segmentation of international financial integration,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 539(C).
- C'ecile Bastidon & Antoine Parent & Pablo Jensen & Patrice Abry & Pierre Borgnat, 2019. "Graph-based era segmentation of international financial integration," Papers 1905.11842, arXiv.org.
- Cécile Bastidon & Antoine Parent & Pablo Jensen & Patrice Abry & Pierre Borgnat, 2020. "Graph-based era segmentation of international financial integration," Sciences Po publications info:hdl:2441/ps168627s85, Sciences Po.
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- Georgios Bampinas & Theodore Panagiotidis & Panagiotis N. Politsidis, 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Working Paper series 23-09, Rimini Centre for Economic Analysis.
- Georgios Bampinas & Theodore Panagiotidis & Panagiotis Politsidis, 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Post-Print hal-04164277, HAL.
- Ji-Eun Choi & Dong Wan Shin, 2021. "A self-normalization break test for correlation matrix," Statistical Papers, Springer, vol. 62(5), pages 2333-2353, October.
- Pedro Galeano & Dominik Wied, 2017. "Dating multiple change points in the correlation matrix," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(2), pages 331-352, June.
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"Are correlations constant? Empirical and theoretical results on popular correlation models in finance,"
Journal of Banking & Finance, Elsevier, vol. 84(C), pages 9-24.
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- Horváth, Lajos & Rice, Gregory & Zhao, Yuqian, 2022. "Change point analysis of covariance functions: A weighted cumulative sum approach," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
- Adams, Zeno & Glück, Thorsten, 2015. "Financialization in commodity markets: A passing trend or the new normal?," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 93-111.
- Fang Duan & Dominik Wied, 2018. "A residual-based multivariate constant correlation test," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 81(6), pages 653-687, August.
- Dominik Wied & Matthias Arnold & Nicolai Bissantz & Daniel Ziggel, 2013. "Über die Anwendbarkeit eines neuen Fluktuationstests für Korrelationen auf Finanzzeitreihen," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 6(3), pages 87-103, March.
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- Sylvia Gottschalk, 2023. "From Black Wednesday to Brexit: Macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2843-2873, July.
- Choi, Ji-Eun & Shin, Dong Wan, 2020. "A self-normalization test for correlation change," Economics Letters, Elsevier, vol. 193(C).
- Nguyen, Quynh Nga & Aboura, Sofiane & Chevallier, Julien & Zhang, Lyuyuan & Zhu, Bangzhu, 2020. "Local Gaussian correlations in financial and commodity markets," European Journal of Operational Research, Elsevier, vol. 285(1), pages 306-323.
- Georgios Bampinas & Theodore Panagiotidis, 2017.
"Oil and stock markets before and after financial crises: A local Gaussian correlation approach,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(12), pages 1179-1204, December.
- Georgios Bampinas & Theodore Panagiotidis, 2017. "Oil and stock markets before and after financial crises : a local Gaussian correlation approach," Bank of Estonia Working Papers wp2016-11, Bank of Estonia, revised 06 Feb 2017.
- Ordu-Akkaya, Beyza Mina & Soytas, Ugur, 2020. "Unconventional monetary policy and financialization of commodities," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Adams, Zeno & Glueck, Thorsten, 2014. "Financialization in Commodity Markets: A Passing Trend or the New Normal?," Working Papers on Finance 1413, University of St. Gallen, School of Finance, revised Aug 2015.
- Bücher, Axel & Jäschke, Stefan & Wied, Dominik, 2015.
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- Bucher, Axel & Jaschke, Stefan & Wied, Dominik, 2013. "Nonparametric tests for constant tail dependence with an application to energy and finance," LIDAM Discussion Papers ISBA 2013033, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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Keywords
Binary segmentation; Correlations; CUSUM statistics; Financial returns; Multiple change point detection;All these keywords.
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