Variance changes detection in multivariate time series
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References listed on IDEAS
- B. Abraham & W. Wei, 1984. "Inferences about the parameters of a time series model with changing variance," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 31(1), pages 183-194, December.
- Lutkepohl, Helmut & Poskitt, D S, 1996. "Specification of Echelon-Form VARMA Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 69-79, January.
- Booth, N.B. & Smith, A.F.M., 1982. "A Bayesian approach to retrospective identification of change-points," Journal of Econometrics, Elsevier, vol. 19(1), pages 7-22, May.
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- repec:spr:testjl:v:26:y:2017:i:2:d:10.1007_s11749-016-0513-3 is not listed on IDEAS
- Xu, Ke-Li & Phillips, Peter C.B., 2008.
"Adaptive estimation of autoregressive models with time-varying variances,"
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Elsevier, vol. 142(1), pages 265-280, January.
- Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585R, Cowles Foundation for Research in Economics, Yale University, revised Nov 2006.
- Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585, Cowles Foundation for Research in Economics, Yale University.
- Herwartz, Helmut & Morales-Arias, Leonardo, 2010. "An empirical analysis of the relationship between US monetary policy and international asset prices," Kiel Working Papers 1581, Kiel Institute for the World Economy (IfW).
- 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.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-03-07 (All new papers)
- NEP-ECM-2004-03-07 (Econometrics)
- NEP-ETS-2004-03-07 (Econometric Time Series)
- NEP-RMG-2004-03-07 (Risk Management)
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