This paper proposes a monitoring cumulative sum of squares (CUSQ)-type test for structural breaks in real-time via an auto-regressive (AR) approximation framework when data generating process (DGP) is a long memory process. The limiting distribution of the monitoring test follows a Brownian...

This paper proposes a novel and intuitive indicator to measure market systemic risk. Using this indicator, we examine how responsive the integration of various hedging assets to a change in the market integration of equity markets. We formulate the risk indicator based on a measure of...