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...

We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic conditional correlation (mDCC) model to separate long-run from short-run components. We allow for smooth changes in the unconditional...