Detection of changes in a random financial sequence with a stable distribution
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DOI: 10.1080/02664760902914433
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- Qu, Liang & Wu, Zhang & Khoo, Michael B.C. & Castagliola, Philippe, 2013. "A CUSUM scheme for event monitoring," International Journal of Production Economics, Elsevier, vol. 145(1), pages 268-280.
- Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2023.
""Generalized Extreme Value Approximation to the CUMSUMQ Test for Constant Unconditional Variance in Heavy-Tailed Time Series","
IREA Working Papers
202309, University of Barcelona, Research Institute of Applied Economics, revised Jul 2023.
- Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2023. "“Generalized Extreme Value Approximation to the CUMSUMQ Test for Constant Unconditional Variance in Heavy-Tailed Time Series”," AQR Working Papers 202305, University of Barcelona, Regional Quantitative Analysis Group, revised Jul 2023.
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