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Testing serial correlations in high-dimensional time series via extreme value theory

Tsay, Ruey S. - In: Journal of econometrics 216 (2020) 1, pp. 106-117

Persistent link: https://www.econbiz.de/10012439650

Multiple break detection in the correlation structure of financial returns

Galeano, Pedro; Wied, Dominik - 2011

Persistent link: https://www.econbiz.de/10009379510

The Gaussian mixture dynamic conditional correlation model : parameter estimation, value at risk calculation, and portfolio selection

Galeano, Pedro; Ausín, M. Concepción - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 4, pp. 559-571

Persistent link: https://www.econbiz.de/10008736138

Dating Multiple Change Points in the Correlation Matrix

Galeano, Pedro - 2015

We propose a nonparametric procedure for detecting and dating multiple change points in the correlation matrix of a sequence of random variables. The procedure is based on a test for changes in correlation matrices at an unknown point in time recently proposed by Wied (2014). Although the...

Persistent link: https://www.econbiz.de/10013033694

Long-range dependence in daily stock volatilities

Ray, Bonnie K.; Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 254-262

Persistent link: https://www.econbiz.de/10001469693

Principal volatility component analysis

Hu, Yu-Pin; Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 2, pp. 153-177

Persistent link: https://www.econbiz.de/10010410764

Testing serial correlation and ARCH effect of high-dimensional time-series data

Ling, Shiqing; Tsay, Ruey S.; Yang, Yaxing - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 136-147

Persistent link: https://www.econbiz.de/10012424504