Universität zu Köln

Pape, Katharina, Wied, Dominik and Galeano, Pedro ORCID: 0000-0003-2577-2747 (2016). Monitoring multivariate variance changes. J. Empir. Financ., 39. S. 54 - 69. AMSTERDAM: ELSEVIER SCIENCE BV. ISSN 1879-1727

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Abstract

We propose a model-independent multivariate sequential procedure to monitor changes in the vector of componentwise unconditional variances in a sequence of p-variate random vectors. The asymptotic behavior of the detector is derived and consistency of the procedure stated. A detailed simulation study illustrates the performance of the procedure confronted with different types of data generating processes. We conclude with an application to the log returns of a group of DAX listed assets. (C) 2016 Elsevier Ltd. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Pape, Katharina UNSPECIFIED UNSPECIFIED UNSPECIFIED Wied, Dominik UNSPECIFIED UNSPECIFIED UNSPECIFIED Galeano, Pedro UNSPECIFIED orcid.org/0000-0003-2577-2747 UNSPECIFIED
URN:	urn:nbn:de:hbz:38-253896
DOI:	10.1016/j.jempfin.2016.08.007
Journal or Publication Title:	J. Empir. Financ.
Volume:	39
Page Range:	S. 54 - 69
Date:	2016
Publisher:	ELSEVIER SCIENCE BV
Place of Publication:	AMSTERDAM
ISSN:	1879-1727
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; STRUCTURAL-CHANGE; GENERALIZED ARCH; LINEAR-MODELS; SERIES; VOLATILITY Multiple languages Business, Finance; Economics Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/25389