Universität zu Köln

Pape, Katharina, Galeano, Pedro and Wied, Dominik . Sequential detection of parameter changes in dynamic conditional correlation models. Appl. Stoch. Models. Bus. Ind.. HOBOKEN: WILEY. ISSN 1526-4025

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Abstract

A multivariate monitoring procedure is presented to detect changes in the parameter vector of the dynamic conditional correlation model. The procedure can be used to detect changes in both the conditional and unconditional variances as well as in the correlation structure of the model. The detector is based on the contributions of individual observations to the gradient of the quasi-log-likelihood function. More precisely, standardized derivatives of quasi-log-likelihood contributions at time points in the monitoring period are evaluated at parameter estimates calculated from a historical period. The null hypothesis of a constant parameter vector is rejected if these standardized terms differ too much from zero. Critical values are obtained via a parametric bootstrap-type procedure. Size and power properties of the procedure are examined in a simulation study. Finally, the behavior of the proposed monitoring scheme is illustrated with a group of asset returns.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Pape, Katharina UNSPECIFIED UNSPECIFIED UNSPECIFIED Galeano, Pedro UNSPECIFIED UNSPECIFIED UNSPECIFIED Wied, Dominik UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-318154
DOI:	10.1002/asmb.2578
Journal or Publication Title:	Appl. Stoch. Models. Bus. Ind.
Publisher:	WILEY
Place of Publication:	HOBOKEN
ISSN:	1526-4025
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language BREAK DETECTION; MULTIVARIATE Multiple languages Operations Research & Management Science; Mathematics, Interdisciplinary Applications; Statistics & Probability Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/31815